CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.1445	7.44***
αARCH	0.1568	7.92***
βGARCH	0.7953	33.53***

γ₁	0.0193	2.70***
γ₂	-0.0251	-2.76***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1445	7.44***
α ARCH Response to squared shocks	0.1568	7.92***
β GARCH Volatility persistence	0.7953	33.53***

γ₁	0.0193	2.70***
γ₂	-0.0251	-2.76***

V-Lab

Vanguard S&P 500 ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vanguard S&P 500 ETF Analyses