CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day 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
ωconst	0.9601	7.56***
αARCH	0.1533	5.09***
βGARCH	0.7400	15.05***

γ₁	-0.0397	-1.67*
γ₂	0.0485	1.36
γ₃	0.0295	1.08
γ₄	-0.0844	-3.14***
γ₅	0.0626	3.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9601	7.56***
α ARCH Response to squared shocks	0.1533	5.09***
β GARCH Volatility persistence	0.7400	15.05***

γ₁	-0.0397	-1.67*
γ₂	0.0485	1.36
γ₃	0.0295	1.08
γ₄	-0.0844	-3.14***
γ₅	0.0626	3.21***

V-Lab

TLT Percentage Price Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TLT Percentage Price Volatility Index Analyses