CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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CBOE Skew Index

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
mwindow	46
αARCH	0.1952	6.03***
βGARCH	0.6368	13.46***
γleverage	-0.0685	-1.60
λ₁tau intercept	10.0000	2.00**
λ₂forecast adj.	0.5929	2.01**
λ₃tau persistence	0.0963	0.24

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1952	6.03***
β GARCH Volatility persistence	0.6368	13.46***
γ leverage Additional response to negative shocks	-0.0685	-1.60
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.00**
λ₂ forecast adj. Forecast performance sensitivity	0.5929	2.01**
λ₃ tau persistence Long-term factor persistence	0.0963	0.24

V-Lab

TLT Percentage Price Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TLT Percentage Price Volatility Index Analyses