CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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	61
αARCH	0.0834	5.96***
βGARCH	0.8107	28.62***
γleverage	-0.0452	-2.72***
λ₁tau intercept	0.1494	1.59
λ₂forecast adj.	0.1722	1.98**
λ₃tau persistence	0.7904	7.30***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0834	5.96***
β GARCH Volatility persistence	0.8107	28.62***
γ leverage Additional response to negative shocks	-0.0452	-2.72***
λ₁ tau intercept Baseline long-term coefficient	0.1494	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.1722	1.98**
λ₃ tau persistence Long-term factor persistence	0.7904	7.30***

V-Lab

Chicago SRW Wheat MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chicago SRW Wheat Analyses