CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	35.1669	14.18***
α ARCH Response to squared shocks	0.1114	22.86***
β GARCH Volatility persistence	0.9348	189.80***
ν DF Student-t tail thickness	5.8105	5.84***

V-Lab

CBOE NASDAQ-100 Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses