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
ωconst	1.1718	5.90***
αARCH	0.0906	7.69***
βGARCH	0.8856	69.01***

γ₁	-0.0124	-0.96
γ₂	0.0349	1.88*
γ₃	-0.0328	-3.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1718	5.90***
α ARCH Response to squared shocks	0.0906	7.69***
β GARCH Volatility persistence	0.8856	69.01***

γ₁	-0.0124	-0.96
γ₂	0.0349	1.88*
γ₃	-0.0328	-3.61***

V-Lab

Invesco MSCI Sustainable Future ETF Fund Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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