CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	2.3632	2.38**
αARCH	0.0793	9.55***
βGARCH	0.9863	156.78***
νDF	8.5825	1.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3632	2.38**
α ARCH Response to squared shocks	0.0793	9.55***
β GARCH Volatility persistence	0.9863	156.78***
ν DF Student-t tail thickness	8.5825	1.25

V-Lab

iShares MSCI Australia ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Australia ETF Analyses