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	0.7266	10.54***
α ARCH Response to squared shocks	0.1102	7.04***
β GARCH Volatility persistence	0.7665	24.40***

γ₁	0.0364	2.82***
γ₂	-0.0618	-3.13***
γ₃	0.0381	2.34**
γ₄	-0.0312	-1.86*
γ₅	0.0287	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