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

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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	1.1458	5.27***
αARCH	0.1114	8.10***
βGARCH	0.8488	57.36***

γ₁	0.0091	0.18
γ₂	-0.0592	-0.78
γ₃	0.1598	3.11***
γ₄	-0.2157	-5.07***
γ₅	0.1198	2.93***
γ₆	0.0386	0.85
γ₇	-0.0874	-1.88*
γ₈	0.0438	1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1458	5.27***
α ARCH Response to squared shocks	0.1114	8.10***
β GARCH Volatility persistence	0.8488	57.36***

γ₁	0.0091	0.18
γ₂	-0.0592	-0.78
γ₃	0.1598	3.11***
γ₄	-0.2157	-5.07***
γ₅	0.1198	2.93***
γ₆	0.0386	0.85
γ₇	-0.0874	-1.88*
γ₈	0.0438	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