CBOE 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	0.5525	3.26***
αARCH	0.1083	6.73***
βGARCH	0.8300	21.29***
γleverage	-1.0000	-14.60***
δpower	0.8471	6.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5525	3.26***
α ARCH Response to squared shocks	0.1083	6.73***
β GARCH Volatility persistence	0.8300	21.29***
γ leverage Additional response to negative shocks	-1.0000	-14.60***
δ power Transformation power	0.8471	6.16***

V-Lab

CBOE VIX Indicative Bid Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Indicative Bid Index Analyses