CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.9387	4.18***
αARCH	0.1177	1.79*
βGARCH	0.3678	0.77

γ₁	62.2694	3.54***
γ₂	-105.1506	-3.71***
γ₃	79.6892	3.58***
γ₄	-55.5632	-3.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9387	4.18***
α ARCH Response to squared shocks	0.1177	1.79*
β GARCH Volatility persistence	0.3678	0.77

γ₁	62.2694	3.54***
γ₂	-105.1506	-3.71***
γ₃	79.6892	3.58***
γ₄	-55.5632	-3.59***

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