CBOE Volatility Index

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CBOE DJIA 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

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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	0.9879	8.01***
αARCH	0.3757	5.58***
βGARCH	0.0739	1.62

γ₁	0.0093	1.14
γ₂	-0.0217	-1.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9879	8.01***
α ARCH Response to squared shocks	0.3757	5.58***
β GARCH Volatility persistence	0.0739	1.62

γ₁	0.0093	1.14
γ₂	-0.0217	-1.29

V-Lab

CBOE IBM Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE IBM Volatility Index Analyses