CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.7249	6.30***
αARCH	0.0933	7.79***
βGARCH	0.8745	56.35***

γ₁	-0.1211	-5.92***
γ₂	0.1829	5.95***
γ₃	-0.1070	-3.72***
γ₄	0.0786	2.45**
γ₅	-0.0343	-1.27
γ₆	-0.0061	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7249	6.30***
α ARCH Response to squared shocks	0.0933	7.79***
β GARCH Volatility persistence	0.8745	56.35***

γ₁	-0.1211	-5.92***
γ₂	0.1829	5.95***
γ₃	-0.1070	-3.72***
γ₄	0.0786	2.45**
γ₅	-0.0343	-1.27
γ₆	-0.0061	-0.35

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