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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CBOE Skew Index

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
mwindow	56
αARCH	0.2062	7.65***
βGARCH	0.6895	16.38***
γleverage	-0.1669	-5.52***
λ₁tau intercept	1.2948	1.16
λ₂forecast adj.	0.0656	1.24
λ₃tau persistence	0.8953	10.74***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2062	7.65***
β GARCH Volatility persistence	0.6895	16.38***
γ leverage Additional response to negative shocks	-0.1669	-5.52***
λ₁ tau intercept Baseline long-term coefficient	1.2948	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0656	1.24
λ₃ tau persistence Long-term factor persistence	0.8953	10.74***

V-Lab

CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses