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	1.1286	5.95***
αARCH	0.5261	5.11***
βGARCH	0.0129	0.85

γ₁	0.0927	2.43**
γ₂	-0.1768	-2.98***
γ₃	0.1168	2.88***
γ₄	-0.0322	-1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1286	5.95***
α ARCH Response to squared shocks	0.5261	5.11***
β GARCH Volatility persistence	0.0129	0.85

γ₁	0.0927	2.43**
γ₂	-0.1768	-2.98***
γ₃	0.1168	2.88***
γ₄	-0.0322	-1.35

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