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
mwindow	101
αARCH	0.0388	2.13**
βGARCH	0.8663	67.56***
γleverage	0.1034	5.79***
λ₁tau intercept	0.0090	1.16
λ₂forecast adj.	0.0192	1.80*
λ₃tau persistence	0.9770	75.94***

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0388	2.13**
β GARCH Volatility persistence	0.8663	67.56***
γ leverage Additional response to negative shocks	0.1034	5.79***
λ₁ tau intercept Baseline long-term coefficient	0.0090	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0192	1.80*
λ₃ tau persistence Long-term factor persistence	0.9770	75.94***

V-Lab

iShares MSCI Spain Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Spain Capped ETF Analyses