CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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
ωconst	0.0295	5.76***
αARCH	0.0829	7.92***
βGARCH	0.9101	92.62***
γleverage	0.4050	4.55***
δpower	1.4757	9.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0295	5.76***
α ARCH Response to squared shocks	0.0829	7.92***
β GARCH Volatility persistence	0.9101	92.62***
γ leverage Additional response to negative shocks	0.4050	4.55***
δ power Transformation power	1.4757	9.92***

V-Lab

iShares MSCI Belgium Capped ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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