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
mwindow	46
αARCH	0.0137	0.93
βGARCH	0.8222	33.87***
γleverage	0.1157	5.55***
λ₁tau intercept	0.2405	1.78*
λ₂forecast adj.	0.4171	2.26**
λ₃tau persistence	0.4534	1.85*

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0137	0.93
β GARCH Volatility persistence	0.8222	33.87***
γ leverage Additional response to negative shocks	0.1157	5.55***
λ₁ tau intercept Baseline long-term coefficient	0.2405	1.78*
λ₂ forecast adj. Forecast performance sensitivity	0.4171	2.26**
λ₃ tau persistence Long-term factor persistence	0.4534	1.85*

V-Lab

iShares MSCI BIC ETF Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI BIC ETF Fund Analyses