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

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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	0.6869	1.92*
αARCH	0.0541	0.04
βGARCH	0.8868	45.99***
γleverage	-1.0000	-0.03
δpower	1.4588	6.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6869	1.92*
α ARCH Response to squared shocks	0.0541	0.04
β GARCH Volatility persistence	0.8868	45.99***
γ leverage Additional response to negative shocks	-1.0000	-0.03
δ power Transformation power	1.4588	6.23***

V-Lab

CBOE Goldman Sachs Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses