CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.7295	6.37***
αARCH	0.0935	7.79***
βGARCH	0.8743	56.15***

γ₁	-0.1210	-5.93***
γ₂	0.1832	5.93***
γ₃	-0.1075	-3.70***
γ₄	0.0784	2.42**
γ₅	-0.0330	-1.21
γ₆	-0.0074	-0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7295	6.37***
α ARCH Response to squared shocks	0.0935	7.79***
β GARCH Volatility persistence	0.8743	56.15***

γ₁	-0.1210	-5.93***
γ₂	0.1832	5.93***
γ₃	-0.1075	-3.70***
γ₄	0.0784	2.42**
γ₅	-0.0330	-1.21
γ₆	-0.0074	-0.43

V-Lab

iShares MSCI Hong Kong ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Hong Kong ETF Analyses