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	1.2078	8.54***
αARCH	0.0894	8.65***
βGARCH	0.8790	71.44***

γ₁	0.0259	2.68***
γ₂	-0.0466	-3.17***
γ₃	0.0440	3.80***
γ₄	-0.0343	-4.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2078	8.54***
α ARCH Response to squared shocks	0.0894	8.65***
β GARCH Volatility persistence	0.8790	71.44***

γ₁	0.0259	2.68***
γ₂	-0.0466	-3.17***
γ₃	0.0440	3.80***
γ₄	-0.0343	-4.13***

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