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	21
αARCH	0.0031	0.26
βGARCH	0.7826	30.64***
γleverage	0.1787	6.49***
λ₁tau intercept	0.0156	2.64***
λ₂forecast adj.	0.0478	4.20***
λ₃tau persistence	0.9452	71.59***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0031	0.26
β GARCH Volatility persistence	0.7826	30.64***
γ leverage Additional response to negative shocks	0.1787	6.49***
λ₁ tau intercept Baseline long-term coefficient	0.0156	2.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0478	4.20***
λ₃ tau persistence Long-term factor persistence	0.9452	71.59***

V-Lab

iShares MSCI Australia ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Australia ETF Analyses