CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

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CBOE Skew Index

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	0.0201	7.37***
αARCH	0.0708	8.50***
βGARCH	0.9283	129.12***
γleverage	0.6681	6.81***
δpower	1.1563	10.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0201	7.37***
α ARCH Response to squared shocks	0.0708	8.50***
β GARCH Volatility persistence	0.9283	129.12***
γ leverage Additional response to negative shocks	0.6681	6.81***
δ power Transformation power	1.1563	10.41***

V-Lab

iShares MSCI Canada ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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