CBOE Volatility Index

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{name} Model Equation

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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
mwindow	21
αARCH	0.0294	1.19
βGARCH	0.8097	50.56***
γleverage	0.1373	4.77***
λ₁tau intercept	0.0255	2.17**
λ₂forecast adj.	0.0613	3.50***
λ₃tau persistence	0.9289	45.36***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0294	1.19
β GARCH Volatility persistence	0.8097	50.56***
γ leverage Additional response to negative shocks	0.1373	4.77***
λ₁ tau intercept Baseline long-term coefficient	0.0255	2.17**
λ₂ forecast adj. Forecast performance sensitivity	0.0613	3.50***
λ₃ tau persistence Long-term factor persistence	0.9289	45.36***

V-Lab

iShares MSCI Italy Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Italy Capped ETF Analyses