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

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{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	4.0052	2.45**
αARCH	0.0470	6.49***
βGARCH	0.9886	200.61***
νDF	9.4022	0.80

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0052	2.45**
α ARCH Response to squared shocks	0.0470	6.49***
β GARCH Volatility persistence	0.9886	200.61***
ν DF Student-t tail thickness	9.4022	0.80

V-Lab

Chicago SRW Wheat GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chicago SRW Wheat Analyses