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	1.1365	5.25***
αARCH	0.1110	8.08***
βGARCH	0.8489	57.31***

γ₁	0.0077	0.15
γ₂	-0.0571	-0.75
γ₃	0.1588	3.10***
γ₄	-0.2157	-5.08***
γ₅	0.1210	2.98***
γ₆	0.0371	0.83
γ₇	-0.0862	-1.87*
γ₈	0.0431	1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1365	5.25***
α ARCH Response to squared shocks	0.1110	8.08***
β GARCH Volatility persistence	0.8489	57.31***

γ₁	0.0077	0.15
γ₂	-0.0571	-0.75
γ₃	0.1588	3.10***
γ₄	-0.2157	-5.08***
γ₅	0.1210	2.98***
γ₆	0.0371	0.83
γ₇	-0.0862	-1.87*
γ₈	0.0431	1.31

V-Lab

iShares MSCI France ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI France ETF Analyses