CBOE Volatility Index

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CBOE DJIA 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
mwindow	21
αARCH	0.3675	1.98**
βGARCH	0.3249	2.39**
γleverage	-0.0720	-0.36
λ₁tau intercept	0.2997	1.51
λ₂forecast adj.	0.5472	1.66*
λ₃tau persistence	0.4200	1.54

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3675	1.98**
β GARCH Volatility persistence	0.3249	2.39**
γ leverage Additional response to negative shocks	-0.0720	-0.36
λ₁ tau intercept Baseline long-term coefficient	0.2997	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.5472	1.66*
λ₃ tau persistence Long-term factor persistence	0.4200	1.54

V-Lab

Principal Focused Blue Chip ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Principal Focused Blue Chip ETF Analyses