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
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5838	26.71***
γ leverage Additional response to negative shocks	0.1259	2.09**
λ₁ tau intercept Baseline long-term coefficient	1.6780	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.6005	0.37
λ₃ tau persistence Long-term factor persistence	0.1026	0.05

V-Lab

State Street SPDR S&P Oil & Gas Exploration & Production ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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