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	1.3430	4.25***
αARCH	0.1103	8.65***
βGARCH	0.8560	67.27***

γ₁	-0.0126	-0.64
γ₂	0.0543	2.03**
γ₃	-0.0851	-5.42***
γ₄	0.0644	4.25***
γ₅	-0.0230	-2.11**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3430	4.25***
α ARCH Response to squared shocks	0.1103	8.65***
β GARCH Volatility persistence	0.8560	67.27***

γ₁	-0.0126	-0.64
γ₂	0.0543	2.03**
γ₃	-0.0851	-5.42***
γ₄	0.0644	4.25***
γ₅	-0.0230	-2.11**

V-Lab

iShares MSCI Italy Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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