CBOE Volatility Index

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CBOE DJIA 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	0.8829	5.08***
αARCH	0.2089	7.18***
βGARCH	0.6562	15.48***

γ₁	0.1919	0.84
γ₂	-0.1710	-0.50
γ₃	-0.1182	-0.61
γ₄	0.1579	0.87
γ₅	0.0870	0.38
γ₆	-0.4118	-1.68*
γ₇	0.5068	2.20**
γ₈	-0.6876	-2.61***
γ₉	0.9987	3.39***
γ₁₀	-1.1572	-3.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8829	5.08***
α ARCH Response to squared shocks	0.2089	7.18***
β GARCH Volatility persistence	0.6562	15.48***

γ₁	0.1919	0.84
γ₂	-0.1710	-0.50
γ₃	-0.1182	-0.61
γ₄	0.1579	0.87
γ₅	0.0870	0.38
γ₆	-0.4118	-1.68*
γ₇	0.5068	2.20**
γ₈	-0.6876	-2.61***
γ₉	0.9987	3.39***
γ₁₀	-1.1572	-3.42***

V-Lab

CBOE EFA ETF Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EFA ETF Volatility Index Analyses