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	0.7317	6.38***
αARCH	0.0929	7.79***
βGARCH	0.8752	56.81***

γ₁	-0.1193	-5.88***
γ₂	0.1802	5.91***
γ₃	-0.1057	-3.71***
γ₄	0.0783	2.45**
γ₅	-0.0344	-1.27
γ₆	-0.0061	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7317	6.38***
α ARCH Response to squared shocks	0.0929	7.79***
β GARCH Volatility persistence	0.8752	56.81***

γ₁	-0.1193	-5.88***
γ₂	0.1802	5.91***
γ₃	-0.1057	-3.71***
γ₄	0.0783	2.45**
γ₅	-0.0344	-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