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	1.1636	5.78***
αARCH	0.0970	8.54***
βGARCH	0.8659	67.96***

γ₁	0.0325	0.69
γ₂	-0.0971	-1.36
γ₃	0.1787	3.56***
γ₄	-0.2293	-5.49***
γ₅	0.1499	3.63***
γ₆	0.0079	0.16
γ₇	-0.0670	-1.30
γ₈	0.0217	0.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1636	5.78***
α ARCH Response to squared shocks	0.0970	8.54***
β GARCH Volatility persistence	0.8659	67.96***

γ₁	0.0325	0.69
γ₂	-0.0971	-1.36
γ₃	0.1787	3.56***
γ₄	-0.2293	-5.49***
γ₅	0.1499	3.63***
γ₆	0.0079	0.16
γ₇	-0.0670	-1.30
γ₈	0.0217	0.63

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