CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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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	5.0000	1.95*
αARCH	0.0115	0.25
βGARCH	0.4250	3.09***
γleverage	0.5809	0.74

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.95*
α ARCH Response to squared shocks	0.0115	0.25
β GARCH Volatility persistence	0.4250	3.09***
γ leverage Additional response to negative shocks	0.5809	0.74

V-Lab

Wealthfront Corp GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wealthfront Corp Analyses