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

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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	15.9854	0.81
αARCH	0.1605	0.67
βGARCH	0.7122	1.53
νDF	3.8792	0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.9854	0.81
α ARCH Response to squared shocks	0.1605	0.67
β GARCH Volatility persistence	0.7122	1.53
ν DF Student-t tail thickness	3.8792	0.32

V-Lab

Wealthfront Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wealthfront Corp Analyses