CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	61
αARCH	0.0141	1.01
βGARCH	0.8565	58.53***
γleverage	0.1269	7.28***
λ₁tau intercept	0.1460	1.80*
λ₂forecast adj.	0.3824	2.49**
λ₃tau persistence	0.5485	2.99***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0141	1.01
β GARCH Volatility persistence	0.8565	58.53***
γ leverage Additional response to negative shocks	0.1269	7.28***
λ₁ tau intercept Baseline long-term coefficient	0.1460	1.80*
λ₂ forecast adj. Forecast performance sensitivity	0.3824	2.49**
λ₃ tau persistence Long-term factor persistence	0.5485	2.99***

V-Lab

iShares MSCI Germany ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Germany ETF Analyses