CBOE Volatility Index

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How volatility evolves over time

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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	0.0341	5.67***
αARCH	0.0925	7.08***
βGARCH	0.9028	82.83***
γleverage	0.3682	3.35***
δpower	1.5091	7.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0341	5.67***
α ARCH Response to squared shocks	0.0925	7.08***
β GARCH Volatility persistence	0.9028	82.83***
γ leverage Additional response to negative shocks	0.3682	3.35***
δ power Transformation power	1.5091	7.86***

V-Lab

iShares MSCI Italy Capped ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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