CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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
ωlong-run	2.9770	1.77*
αscore	0.0846	7.80***
βpersistence	0.9876	140.17***
νDF	7.9281	1.37

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	2.9770	1.77*
α score Weight on the scaled score	0.0846	7.80***
β persistence Volatility persistence	0.9876	140.17***
ν DF Student-t tail thickness	7.9281	1.37

V-Lab

iShares MSCI Spain Capped ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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