CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	1.0040	6.58***
αARCH	0.1943	5.60***
βGARCH	0.5569	9.97***

γ₁	0.1099	0.47
γ₂	-0.0006	0.00
γ₃	-0.2569	-0.70
γ₄	0.2992	1.05
γ₅	-0.4043	-1.60
γ₆	0.8426	2.57**
γ₇	-1.3437	-3.21***
γ₈	1.2590	2.88***
γ₉	-0.8403	-1.87*
γ₁₀	0.5769	1.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0040	6.58***
α ARCH Response to squared shocks	0.1943	5.60***
β GARCH Volatility persistence	0.5569	9.97***

γ₁	0.1099	0.47
γ₂	-0.0006	0.00
γ₃	-0.2569	-0.70
γ₄	0.2992	1.05
γ₅	-0.4043	-1.60
γ₆	0.8426	2.57**
γ₇	-1.3437	-3.21***
γ₈	1.2590	2.88***
γ₉	-0.8403	-1.87*
γ₁₀	0.5769	1.13

V-Lab

CBOE Emerging Market Markets Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Emerging Market Markets Volatility Index Analyses