CBOE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1103	19.21***
α ARCH Response to squared shocks	0.1633	22.66***
β GARCH Volatility persistence	0.8510	205.30***
γ leverage Additional response to negative shocks	-0.1633	-22.08***

V-Lab

CBOE NASDAQ-100 Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses