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	1.7336	1.74*
αARCH	0.0533	1.71*
βGARCH	0.9580	45.11***
νDF	8.2062	0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7336	1.74*
α ARCH Response to squared shocks	0.0533	1.71*
β GARCH Volatility persistence	0.9580	45.11***
ν DF Student-t tail thickness	8.2062	0.20

V-Lab

Fidelity Disruptive Automation ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fidelity Disruptive Automation ETF Analyses