CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day 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
ωconst	0.0537	3.39***
αARCH	0.1885	14.97***
βGARCH	0.8018	62.70***
γleverage	0.1074	4.26***
δpower	1.1664	3.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0537	3.39***
α ARCH Response to squared shocks	0.1885	14.97***
β GARCH Volatility persistence	0.8018	62.70***
γ leverage Additional response to negative shocks	0.1074	4.26***
δ power Transformation power	1.1664	3.05***

V-Lab

State Street SPDR S&P Metals & Mining ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Metals & Mining ETF Analyses