CBOE 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
mwindow	86
αARCH	0.0160	1.68*
βGARCH	0.8793	68.76***
γleverage	0.1195	7.03***
λ₁tau intercept	0.1248	2.30**
λ₂forecast adj.	0.6073	3.71***
λ₃tau persistence	0.3380	1.89*

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0160	1.68*
β GARCH Volatility persistence	0.8793	68.76***
γ leverage Additional response to negative shocks	0.1195	7.03***
λ₁ tau intercept Baseline long-term coefficient	0.1248	2.30**
λ₂ forecast adj. Forecast performance sensitivity	0.6073	3.71***
λ₃ tau persistence Long-term factor persistence	0.3380	1.89*

V-Lab

iShares MSCI Singapore Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Singapore Capped ETF Analyses