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

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
mwindow	81
αARCH	0.2493	6.11***
βGARCH	0.6884	13.28***
γleverage	-0.1660	-3.15***
λ₁tau intercept	5.2425	1.40
λ₂forecast adj.	0.2301	1.66*
λ₃tau persistence	0.7132	4.09***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2493	6.11***
β GARCH Volatility persistence	0.6884	13.28***
γ leverage Additional response to negative shocks	-0.1660	-3.15***
λ₁ tau intercept Baseline long-term coefficient	5.2425	1.40
λ₂ forecast adj. Forecast performance sensitivity	0.2301	1.66*
λ₃ tau persistence Long-term factor persistence	0.7132	4.09***

V-Lab

CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EFA ETF Volatility Index Analyses