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

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7371	2.34**
α ARCH Response to squared shocks	0.0820	5.44***
β GARCH Volatility persistence	0.8833	44.58***

γ₁	0.0088	0.04
γ₂	-0.1274	-0.47
γ₃	0.4251	3.82***
γ₄	-0.7444	-3.68***
γ₅	0.8524	2.99***
γ₆	-0.7184	-3.25***
γ₇	0.4230	2.96***
γ₈	-0.1248	-1.21

V-Lab

State Street SPDR S&P Oil & Gas Exploration & Production ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Oil & Gas Exploration & Production ETF Analyses