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	0.7427	2.37**
α ARCH Response to squared shocks	0.0818	5.40***
β GARCH Volatility persistence	0.8838	44.63***

γ₁	0.0164	0.08
γ₂	-0.1433	-0.53
γ₃	0.4437	3.83***
γ₄	-0.7612	-3.59***
γ₅	0.8579	2.94***
γ₆	-0.7099	-3.15***
γ₇	0.4052	2.75***
γ₈	-0.1099	-1.01

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

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