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	1.1566	5.87***
αARCH	0.5390	5.07***
βGARCH	0.0058	0.57

γ₁	0.1005	2.63***
γ₂	-0.1935	-3.23***
γ₃	0.1456	3.16***
γ₄	-0.1140	-1.99**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1566	5.87***
α ARCH Response to squared shocks	0.5390	5.07***
β GARCH Volatility persistence	0.0058	0.57

γ₁	0.1005	2.63***
γ₂	-0.1935	-3.23***
γ₃	0.1456	3.16***
γ₄	-0.1140	-1.99**

V-Lab

CBOE Amazon Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Amazon Volatility Index Analyses