RealVol Daily Indices

  • The Flagship index at VolX is the 1-month (21-day) realized volatility index (also known as VOLm)
  • Detailed explanations can be found at the bottom of the page

Notice: GVOL, RVOL, and HVOL Indices are currently suspended.

Historical volatility
Historical
Historical volatility
Forecast Volatility
Forecast
Forecast Volatility
 
Symbol
Charts/
As of Date
VOLS
12-Month
3-Month
1-Month
Quotes
1-Month
3-Month
12-Month
21 Aug 2015
VOL
12.65 
13.27 
16.47 
GVOL
VOV
13.43 
55.15 
139.33 
RVOL
DVOL
11.77 
11.90 
13.17 
HVOL
VCOR
-7.67 
-28.22 
-68.03 
 
VAR
160.02 
176.09 
271.26 
     
DISP
 
 
 
VOLS
Historical volatility
Historical
Historical volatility
Symbol
1-Year
1-Quarter
1-Month
1-Week
1-Day
VOL
14.11 
17.98 
26.50 
44.53 
0.64 
VOV
26.80 
86.49 
167.57 
562.09 
2251.88 
DVOL
12.98 
16.06 
23.75 
47.92 
10.95 
VCOR
-4.33 
-17.63 
-46.43 
N/A 
N/A 
VAR
199.09 
323.28 
702.25 
1982.92 
0.41 
 
Forecast Volatility
Forecast
Forecast Volatility
Symbol
1-Day
1-Week
1-Month
1-Quarter
1-Year
GVOL
*
*
*
*
*
RVOL
*
*
*
*
*
HVOL
*
*
*
*
*
As of: 28 Aug 2015

Source of Underlying Data: NYSE Arca

Color Key

VOLd

1-day RealVol Index of realized volatility (using RealVol Daily Formula)

VOLw

1-week (5-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLm

1-month (21-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLq

1-quarter (63-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLy

1-year (252-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOVd

21-day of 1-day RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVw

21-day of 1-week (5-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVm

21-day of 1-month (21-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVq

21-day of 1-quarter (63-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVy

21-day of 1-year (252-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

DVOLd

1-day RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLw

1-week (5-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLm

1-month (21-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLq

1-quarter (63-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLy

1-year (252-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

VCORd

N/A

VCORw

N/A

VCORm

1-month (21-day) RealVol Index of historical correlation based on the underlying and VOLm (using RealVol Correlation Formula)

VCORq

1-quarter (63-day) RealVol Index of historical correlation based on the underlying and VOLq (using RealVol Correlation Formula)

VCORy

1-year (252-day) RealVol Index of historical correlation based on the underlying and VOLy (using RealVol Correlation Formula)

VARd

1-day RealVol Index of realized variance (using RealVol Variance Formula)

VARw

1-week (5-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARm

1-month (21-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARq

1-quarter (63-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARy

1-year (252-day) RealVol Index of realized variance (using RealVol Variance Formula)

GVOLd

1-day RealVol Index of forecast realized volatility (using modified GARCH model)

GVOLw

1-week (5-day) RealVol Index of forecast realized volatility (using modified GARCH model)

GVOLm

1-month (21-day) RealVol Index of forecast realized volatility (using modified GARCH model)

GVOLq

1-quarter (63-day) RealVol Index of forecast realized volatility (using modified GARCH model)

GVOLy

1-year (252-day) RealVol Index of forecast realized volatility (using modified GARCH model)

RVOLd

1-day RealVol Index of forecast realized volatility (using RFSV model)

RVOLw

1-week (5-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLm

1-month (21-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLq

1-quarter (63-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLy

1-year (252-day) RealVol Index of forecast realized volatility (using RFSV model)

HVOLd

1-day RealVol Index of forecast realized volatility (using HAR model)

HVOLw

1-week (5-day) RealVol Index of forecast realized volatility (using HAR model)

HVOLm

1-month (21-day) RealVol Index of forecast realized volatility (using HAR model)

HVOLq

1-quarter (63-day) RealVol Index of forecast realized volatility (using HAR model)

HVOLy

1-year (252-day) RealVol Index of forecast realized volatility (using HAR model)

*

An asterisk indicates that the data are not yet available.

Symbol Key

 Symbol
 Index
Underlying Ref. Prices
 Equities 
    VOLSRealVol SPY IndicesSPDR S&P 500 ETF

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