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

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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	0.6076	8.05***
αARCH	0.0348	0.15
βGARCH	0.0000	0.00
νDF	21.9594	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6076	8.05***
α ARCH Response to squared shocks	0.0348	0.15
β GARCH Volatility persistence	0.0000	0.00
ν DF Student-t tail thickness	21.9594	0.01

V-Lab

Ishares S&P 500 EX S&P 1 ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares S&P 500 EX S&P 1 ETF Analyses