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	1.5661	7.70***
αARCH	0.1670	6.81***
βGARCH	0.6520	13.21***

γ₁	0.1723	5.94***
γ₂	-0.2505	-5.61***
γ₃	0.1111	3.29***
γ₄	-0.0834	-1.95*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5661	7.70***
α ARCH Response to squared shocks	0.1670	6.81***
β GARCH Volatility persistence	0.6520	13.21***

γ₁	0.1723	5.94***
γ₂	-0.2505	-5.61***
γ₃	0.1111	3.29***
γ₄	-0.0834	-1.95*

V-Lab

CBOE Goldman Sachs Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses