CBOE Volatility Index

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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
ωconst	1.0000	1.32
αARCH	0.0936	1.43
βGARCH	0.8208	16.73***
γleverage	-1.0000	-0.95
δpower	1.0992	3.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.32
α ARCH Response to squared shocks	0.0936	1.43
β GARCH Volatility persistence	0.8208	16.73***
γ leverage Additional response to negative shocks	-1.0000	-0.95
δ power Transformation power	1.0992	3.67***

V-Lab

CBOE IBM Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE IBM Volatility Index Analyses