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

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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	0.1524	1.57
αARCH	0.0077	0.16
βGARCH	0.8906	14.89***
γleverage	0.1130	0.85

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1524	1.57
α ARCH Response to squared shocks	0.0077	0.16
β GARCH Volatility persistence	0.8906	14.89***
γ leverage Additional response to negative shocks	0.1130	0.85

V-Lab

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

Date Range:

News Impact Curve

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Parameter Estimates

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