CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.8425	1.76*
αARCH	0.0952	7.01***
βGARCH	0.9844	103.02***
νDF	7.2833	1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8425	1.76*
α ARCH Response to squared shocks	0.0952	7.01***
β GARCH Volatility persistence	0.9844	103.02***
ν DF Student-t tail thickness	7.2833	1.46

V-Lab

CBOE VIX Tail Hedge Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses