CBOE 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	0.7277	10.54***
α ARCH Response to squared shocks	0.1104	7.05***
β GARCH Volatility persistence	0.7666	24.46***

γ₁	0.0371	2.85***
γ₂	-0.0629	-3.16***
γ₃	0.0389	2.36**
γ₄	-0.0319	-1.87*
γ₅	0.0290	2.05**

V-Lab

CBOE NASDAQ-100 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses