CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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	0.1533	1.56
αARCH	0.0058	0.13
βGARCH	0.8909	14.81***
γleverage	0.1154	0.90

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1533	1.56
α ARCH Response to squared shocks	0.0058	0.13
β GARCH Volatility persistence	0.8909	14.81***
γ leverage Additional response to negative shocks	0.1154	0.90

V-Lab

KraneShares Public-Private AI & Technology ETF GJR-GARCH Volatility Analysis

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News Impact Curve

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