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

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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	0.0200	5.96***
αARCH	0.0765	8.48***
βGARCH	0.9207	112.37***
γleverage	0.5153	5.22***
δpower	1.3317	11.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0200	5.96***
α ARCH Response to squared shocks	0.0765	8.48***
β GARCH Volatility persistence	0.9207	112.37***
γ leverage Additional response to negative shocks	0.5153	5.22***
δ power Transformation power	1.3317	11.04***

V-Lab

iShares MSCI Switzerland Capped ETF APARCH Volatility Analysis

Date Range:

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