CBOE Volatility Index

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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	0.8756	5.12***
αARCH	0.2062	7.08***
βGARCH	0.6557	15.17***

γ₁	0.1896	0.83
γ₂	-0.1674	-0.50
γ₃	-0.1190	-0.62
γ₄	0.1536	0.85
γ₅	0.0979	0.43
γ₆	-0.4273	-1.76*
γ₇	0.5299	2.32**
γ₈	-0.7247	-2.76***
γ₉	1.0585	3.66***
γ₁₀	-1.3141	-4.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8756	5.12***
α ARCH Response to squared shocks	0.2062	7.08***
β GARCH Volatility persistence	0.6557	15.17***

γ₁	0.1896	0.83
γ₂	-0.1674	-0.50
γ₃	-0.1190	-0.62
γ₄	0.1536	0.85
γ₅	0.0979	0.43
γ₆	-0.4273	-1.76*
γ₇	0.5299	2.32**
γ₈	-0.7247	-2.76***
γ₉	1.0585	3.66***
γ₁₀	-1.3141	-4.13***

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