CBOE Energy ETF Volatility Index

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

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0155	7.31***
α ARCH Response to squared shocks	0.0695	33.54***
β GARCH Volatility persistence	0.9179	428.12***
γ leverage Additional response to negative shocks	0.5797	24.06***

V-Lab

State Street Energy Select Sector SPDR ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Energy Select Sector SPDR ETF Analyses