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

CBOE S&P 500 6-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
ωconst	0.9527	7.79***
αARCH	0.1580	5.38***
βGARCH	0.7249	15.38***

γ₁	-0.0385	-1.68*
γ₂	0.0456	1.33
γ₃	0.0352	1.35
γ₄	-0.0987	-3.47***
γ₅	0.1003	1.80*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9527	7.79***
α ARCH Response to squared shocks	0.1580	5.38***
β GARCH Volatility persistence	0.7249	15.38***

γ₁	-0.0385	-1.68*
γ₂	0.0456	1.33
γ₃	0.0352	1.35
γ₄	-0.0987	-3.47***
γ₅	0.1003	1.80*

V-Lab

TLT Percentage Price Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TLT Percentage Price Volatility Index Analyses