CBOE Energy ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month Volatility Index

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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
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8488	115.66***
γ leverage Additional response to negative shocks	0.1186	31.19***
λ₁ tau intercept Baseline long-term coefficient	0.0678	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.1943	1.33
λ₃ tau persistence Long-term factor persistence	0.7815	4.76***

V-Lab

State Street Energy Select Sector SPDR ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Energy Select Sector SPDR ETF Analyses