CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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CBOE Skew Index

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
ωconst	0.0434	4.85***
αARCH	0.0436	2.52**
βGARCH	0.8933	89.13***
γleverage	0.0972	3.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0434	4.85***
α ARCH Response to squared shocks	0.0436	2.52**
β GARCH Volatility persistence	0.8933	89.13***
γ leverage Additional response to negative shocks	0.0972	3.31***

V-Lab

iShares MSCI Italy Capped ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Italy Capped ETF Analyses