CBOE Volatility Index

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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	1.5507	7.64***
αARCH	0.1681	6.75***
βGARCH	0.6506	13.30***

γ₁	0.1669	5.72***
γ₂	-0.2363	-5.33***
γ₃	0.0829	2.82***
γ₄	-0.0086	-0.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5507	7.64***
α ARCH Response to squared shocks	0.1681	6.75***
β GARCH Volatility persistence	0.6506	13.30***

γ₁	0.1669	5.72***
γ₂	-0.2363	-5.33***
γ₃	0.0829	2.82***
γ₄	-0.0086	-0.45

V-Lab

CBOE Goldman Sachs Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses