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
mwindow	51
αARCH	0.0258	1.76*
βGARCH	0.8777	80.70***
γleverage	0.1123	6.23***
λ₁tau intercept	0.0021	1.19
λ₂forecast adj.	0.0131	2.22**
λ₃tau persistence	0.9853	147.29***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0258	1.76*
β GARCH Volatility persistence	0.8777	80.70***
γ leverage Additional response to negative shocks	0.1123	6.23***
λ₁ tau intercept Baseline long-term coefficient	0.0021	1.19
λ₂ forecast adj. Forecast performance sensitivity	0.0131	2.22**
λ₃ tau persistence Long-term factor persistence	0.9853	147.29***

V-Lab

iShares MSCI Switzerland Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Switzerland Capped ETF Analyses