CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2633	14.44***
α ARCH Response to squared shocks	0.0780	27.92***
β GARCH Volatility persistence	0.8944	254.81***
γ leverage Additional response to negative shocks	-1.0000	-26.50***
δ power Transformation power	0.9698	32.79***

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CBOE NASDAQ-100 Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses