CBOE Volatility Index

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CBOE DJIA Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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
mwindow	116
αARCH	0.0000	0.00
βGARCH	0.0000	0.00
γleverage	0.5000	6.75***
λ₁tau intercept	0.3699	13.89***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.4208	6.29***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	6.75***
λ₁ tau intercept Baseline long-term coefficient	0.3699	13.89***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.4208	6.29***

V-Lab

Franklin Ohio Municipal Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin Ohio Municipal Income ETF Analyses