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

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	1.6164	6.70***
αARCH	0.1026	8.54***
βGARCH	0.8554	57.19***

γ₁	-0.0165	-1.29
γ₂	0.0402	2.14**
γ₃	-0.0494	-3.57***
γ₄	0.0591	4.70***
γ₅	-0.0486	-5.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6164	6.70***
α ARCH Response to squared shocks	0.1026	8.54***
β GARCH Volatility persistence	0.8554	57.19***

γ₁	-0.0165	-1.29
γ₂	0.0402	2.14**
γ₃	-0.0494	-3.57***
γ₄	0.0591	4.70***
γ₅	-0.0486	-5.50***

V-Lab

iShares MSCI Japan ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Japan ETF Analyses