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
ωconst	2.6476	1.60
αARCH	0.0796	11.55***
βGARCH	0.9927	221.13***
νDF	7.1841	2.10**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6476	1.60
α ARCH Response to squared shocks	0.0796	11.55***
β GARCH Volatility persistence	0.9927	221.13***
ν DF Student-t tail thickness	7.1841	2.10**

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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