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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0645	14.42***
α ARCH Response to squared shocks	0.1948	44.26***
β GARCH Volatility persistence	0.7960	159.15***
γ leverage Additional response to negative shocks	0.1510	17.20***
δ power Transformation power	1.1781	23.06***

V-Lab

State Street SPDR S&P Oil & Gas Exploration & Production ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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