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	5.0000	2.29**
αARCH	0.1016	1.86*
βGARCH	0.8622	20.16***
γleverage	-0.0976	-1.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.29**
α ARCH Response to squared shocks	0.1016	1.86*
β GARCH Volatility persistence	0.8622	20.16***
γ leverage Additional response to negative shocks	-0.0976	-1.58

V-Lab

CBOE Google Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Google Volatility Index Analyses