CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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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
ωconst	0.9466	3.69***
αARCH	0.2052	3.38***
βGARCH	0.7185	10.82***

γ₁	-7.1604	-2.25**
γ₂	15.3119	2.95***
γ₃	-14.5417	-3.67***
γ₄	7.8782	2.39**
γ₅	-0.8608	-0.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9466	3.69***
α ARCH Response to squared shocks	0.2052	3.38***
β GARCH Volatility persistence	0.7185	10.82***

γ₁	-7.1604	-2.25**
γ₂	15.3119	2.95***
γ₃	-14.5417	-3.67***
γ₄	7.8782	2.39**
γ₅	-0.8608	-0.40

V-Lab

FT Vest US EQ MO BU ETF July Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FT Vest US EQ MO BU ETF July Analyses