CBOE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9957	9.06***
α ARCH Response to squared shocks	0.1282	6.94***
β GARCH Volatility persistence	0.7356	19.50***

γ₁	0.0321	4.33***
γ₂	-0.0479	-4.12***
γ₃	0.0275	3.06***
γ₄	-0.0191	-2.89***

V-Lab

CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses