etf_vix: CBOE ETF Volatility Index Dataset

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

CBOE ETF Volatility Index Dataset

Description

Chicago Board Options Exchage (CBOE) Exchange Traded Funds (ETFs) volatility index from FRED.

Usage

etf_vix

Format

A data frame of 1006 row and 9 columns:

From 2012-01-09 to 2015-06-27, 33 missing observations were interpolated by stats::approx() with linear.

GVZCLS

Gold ETF volatility index

VXFXICLS

China ETF volatility index

OVXCLS

Crude Oil ETF volatility index

VXEEMCLS

Emerging Markets ETF volatility index

EVZCLS

EuroCurrency ETF volatility index

VXSLVCLS

Silver ETF volatility index

VXGDXCLS

Gold Miners ETF volatility index

VXXLECLS

Energy Sector ETF volatility index

VXEWZCLS

Brazil ETF volatility index

Details

Copyright, 2016, Chicago Board Options Exchange, Inc.

Note that, in this data frame, dates column is removed. This dataset interpolated 36 missing observations (nontrading dates) using imputeTS::na_interpolation().

Source

Source: https://www.cboe.com

Release: https://www.cboe.com/us/options/market_statistics/daily/

References

Chicago Board Options Exchange, CBOE Gold ETF Volatility Index (GVZCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GVZCLS, July 31, 2021.

Chicago Board Options Exchange, CBOE China ETF Volatility Index (VXFXICLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXFXICLS, August 1, 2021.

Chicago Board Options Exchange, CBOE Crude Oil ETF Volatility Index (OVXCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/OVXCLS, August 1, 2021.

Chicago Board Options Exchange, CBOE Emerging Markets ETF Volatility Index (VXEEMCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXEEMCLS, August 1, 2021.

Chicago Board Options Exchange, CBOE EuroCurrency ETF Volatility Index (EVZCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/EVZCLS, August 2, 2021.

Chicago Board Options Exchange, CBOE Silver ETF Volatility Index (VXSLVCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXSLVCLS, August 1, 2021.

Chicago Board Options Exchange, CBOE Gold Miners ETF Volatility Index (VXGDXCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXGDXCLS, August 1, 2021.

Chicago Board Options Exchange, CBOE Energy Sector ETF Volatility Index (VXXLECLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXXLECLS, August 1, 2021.

Chicago Board Options Exchange, CBOE Brazil ETF Volatility Index (VXEWZCLS), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXEWZCLS, August 2, 2021.

bvhar documentation built on April 4, 2025, 5:22 a.m.