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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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
ωconst	1.2099	8.62***
αARCH	0.0896	8.64***
βGARCH	0.8783	70.82***

γ₁	0.0267	2.76***
γ₂	-0.0479	-3.26***
γ₃	0.0453	3.90***
γ₄	-0.0353	-4.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2099	8.62***
α ARCH Response to squared shocks	0.0896	8.64***
β GARCH Volatility persistence	0.8783	70.82***

γ₁	0.0267	2.76***
γ₂	-0.0479	-3.26***
γ₃	0.0453	3.90***
γ₄	-0.0353	-4.24***

V-Lab

iShares Russell 2000 ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Russell 2000 ETF Analyses