CBOE Volatility Index

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{name} Model Equation

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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	0.0311	6.37***
αARCH	0.0798	8.13***
βGARCH	0.9144	110.48***
γleverage	0.5591	5.37***
δpower	1.2719	9.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0311	6.37***
α ARCH Response to squared shocks	0.0798	8.13***
β GARCH Volatility persistence	0.9144	110.48***
γ leverage Additional response to negative shocks	0.5591	5.37***
δ power Transformation power	1.2719	9.13***

V-Lab

iShares MSCI Netherlands ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Netherlands ETF Analyses