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	0.8193	4.34***
αARCH	0.1029	1.57
βGARCH	0.2234	0.38

γ₁	47.8209	3.36***
γ₂	-83.2430	-3.74***
γ₃	69.4294	4.21***
γ₄	-52.7804	-4.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8193	4.34***
α ARCH Response to squared shocks	0.1029	1.57
β GARCH Volatility persistence	0.2234	0.38

γ₁	47.8209	3.36***
γ₂	-83.2430	-3.74***
γ₃	69.4294	4.21***
γ₄	-52.7804	-4.92***

V-Lab

Franklin Ohio Municipal Income ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin Ohio Municipal Income ETF Analyses