CBOE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1721	40.29***
β GARCH Volatility persistence	0.8042	109.82***
γ leverage Additional response to negative shocks	-0.1721	-27.20***
λ₁ tau intercept Baseline long-term coefficient	0.0528	2.06**
λ₂ forecast adj. Forecast performance sensitivity	0.0105	4.25***
λ₃ tau persistence Long-term factor persistence	0.9880	341.64***

V-Lab

CBOE NASDAQ-100 Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses