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

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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	1.1314	5.88***
αARCH	0.5324	5.13***
βGARCH	0.0150	0.92

γ₁	0.0888	2.36**
γ₂	-0.1705	-2.93***
γ₃	0.1122	2.82***
γ₄	-0.0287	-1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1314	5.88***
α ARCH Response to squared shocks	0.5324	5.13***
β GARCH Volatility persistence	0.0150	0.92

γ₁	0.0888	2.36**
γ₂	-0.1705	-2.93***
γ₃	0.1122	2.82***
γ₄	-0.0287	-1.23

V-Lab

CBOE Amazon Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Amazon Volatility Index Analyses