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	1.6862	2.44**
αARCH	0.0955	8.32***
βGARCH	0.9857	160.48***
νDF	9.2259	1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6862	2.44**
α ARCH Response to squared shocks	0.0955	8.32***
β GARCH Volatility persistence	0.9857	160.48***
ν DF Student-t tail thickness	9.2259	1.35

V-Lab

iShares Select U.S. REIT ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Select U.S. REIT ETF Analyses