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

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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	1.0033	6.56***
αARCH	0.1944	5.58***
βGARCH	0.5595	10.04***

γ₁	0.1087	0.45
γ₂	0.0023	0.01
γ₃	-0.2615	-0.71
γ₄	0.3080	1.08
γ₅	-0.4198	-1.66*
γ₆	0.8599	2.59***
γ₇	-1.3457	-3.18***
γ₈	1.2347	2.77***
γ₉	-0.8032	-1.75*
γ₁₀	0.5569	1.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0033	6.56***
α ARCH Response to squared shocks	0.1944	5.58***
β GARCH Volatility persistence	0.5595	10.04***

γ₁	0.1087	0.45
γ₂	0.0023	0.01
γ₃	-0.2615	-0.71
γ₄	0.3080	1.08
γ₅	-0.4198	-1.66*
γ₆	0.8599	2.59***
γ₇	-1.3457	-3.18***
γ₈	1.2347	2.77***
γ₉	-0.8032	-1.75*
γ₁₀	0.5569	1.08

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