CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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
mwindow	41
αARCH	0.0447	3.70***
βGARCH	0.8380	50.65***
γleverage	0.1051	5.17***
λ₁tau intercept	0.0057	1.75*
λ₂forecast adj.	0.0329	3.07***
λ₃tau persistence	0.9641	82.82***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0447	3.70***
β GARCH Volatility persistence	0.8380	50.65***
γ leverage Additional response to negative shocks	0.1051	5.17***
λ₁ tau intercept Baseline long-term coefficient	0.0057	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.0329	3.07***
λ₃ tau persistence Long-term factor persistence	0.9641	82.82***

V-Lab

iShares MSCI Japan ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Japan ETF Analyses