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

How returns affect tomorrow's illiquidity

Spline Coefficients

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	2.3398	5.39***
αARCH	0.0827	8.25***
βGARCH	0.8840	71.84***

γ₁	0.0466	4.21***
γ₂	-0.0668	-4.00***
γ₃	0.0465	3.59***
γ₄	-0.0384	-4.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3398	5.39***
α ARCH Response to squared shocks	0.0827	8.25***
β GARCH Volatility persistence	0.8840	71.84***

γ₁	0.0466	4.21***
γ₂	-0.0668	-4.00***
γ₃	0.0465	3.59***
γ₄	-0.0384	-4.58***

V-Lab

iShares MSCI South Korea ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI South Korea ETF Analyses