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	26
αARCH	0.0000	0.00
βGARCH	0.8800	21.34***
γleverage	0.1152	2.84***
λ₁tau intercept	0.1395	0.52
λ₂forecast adj.	0.0352	0.48
λ₃tau persistence	0.8963	4.81***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8800	21.34***
γ leverage Additional response to negative shocks	0.1152	2.84***
λ₁ tau intercept Baseline long-term coefficient	0.1395	0.52
λ₂ forecast adj. Forecast performance sensitivity	0.0352	0.48
λ₃ tau persistence Long-term factor persistence	0.8963	4.81***

V-Lab

Fidelity Disruptive Automation ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fidelity Disruptive Automation ETF Analyses