CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.9126	4.85***
αARCH	0.1325	7.60***
βGARCH	0.7166	20.04***

γ₁	0.0146	0.20
γ₂	-0.0075	-0.07
γ₃	0.0582	0.86
γ₄	-0.1473	-1.77*
γ₅	0.1158	1.30
γ₆	-0.0454	-0.62
γ₇	0.0175	0.25
γ₈	-0.0133	-0.21
γ₉	0.0911	1.23
γ₁₀	-0.3472	-2.48**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9126	4.85***
α ARCH Response to squared shocks	0.1325	7.60***
β GARCH Volatility persistence	0.7166	20.04***

γ₁	0.0146	0.20
γ₂	-0.0075	-0.07
γ₃	0.0582	0.86
γ₄	-0.1473	-1.77*
γ₅	0.1158	1.30
γ₆	-0.0454	-0.62
γ₇	0.0175	0.25
γ₈	-0.0133	-0.21
γ₉	0.0911	1.23
γ₁₀	-0.3472	-2.48**

V-Lab

CBOE DJIA Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses