CBOE 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	1.1691	5.89***
αARCH	0.0902	7.67***
βGARCH	0.8861	69.18***

γ₁	-0.0127	-0.98
γ₂	0.0355	1.90*
γ₃	-0.0330	-3.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1691	5.89***
α ARCH Response to squared shocks	0.0902	7.67***
β GARCH Volatility persistence	0.8861	69.18***

γ₁	-0.0127	-0.98
γ₂	0.0355	1.90*
γ₃	-0.0330	-3.60***

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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