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 volatility evolves over time

How illiquidity evolves over time

{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	0.7436	2.40**
αARCH	0.0739	5.24***
βGARCH	0.8948	47.99***

γ₁	0.0064	0.03
γ₂	-0.1146	-0.43
γ₃	0.3990	3.73***
γ₄	-0.7158	-3.81***
γ₅	0.8351	3.05***
γ₆	-0.7194	-3.32***
γ₇	0.4369	3.09***
γ₈	-0.1365	-1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7436	2.40**
α ARCH Response to squared shocks	0.0739	5.24***
β GARCH Volatility persistence	0.8948	47.99***

γ₁	0.0064	0.03
γ₂	-0.1146	-0.43
γ₃	0.3990	3.73***
γ₄	-0.7158	-3.81***
γ₅	0.8351	3.05***
γ₆	-0.7194	-3.32***
γ₇	0.4369	3.09***
γ₈	-0.1365	-1.35

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