CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 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
ωconst	2.0045	4.20***
αARCH	0.3842	6.20***
βGARCH	0.5046	4.30***
γleverage	0.0261	0.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0045	4.20***
α ARCH Response to squared shocks	0.3842	6.20***
β GARCH Volatility persistence	0.5046	4.30***
γ leverage Additional response to negative shocks	0.0261	0.40

V-Lab

CBOE Google Volatility Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Google Volatility Index Analyses