CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.1689	5.80***
αARCH	0.0971	8.55***
βGARCH	0.8659	68.05***

γ₁	0.0325	0.70
γ₂	-0.0966	-1.36
γ₃	0.1777	3.55***
γ₄	-0.2289	-5.49***
γ₅	0.1503	3.66***
γ₆	0.0076	0.15
γ₇	-0.0677	-1.32
γ₈	0.0225	0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1689	5.80***
α ARCH Response to squared shocks	0.0971	8.55***
β GARCH Volatility persistence	0.8659	68.05***

γ₁	0.0325	0.70
γ₂	-0.0966	-1.36
γ₃	0.1777	3.55***
γ₄	-0.2289	-5.49***
γ₅	0.1503	3.66***
γ₆	0.0076	0.15
γ₇	-0.0677	-1.32
γ₈	0.0225	0.66

V-Lab

iShares MSCI Netherlands ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Netherlands ETF Analyses