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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	0.8102	4.46***
αARCH	0.1442	4.57***
βGARCH	0.7925	26.78***

γ₁	-0.3483	-0.86
γ₂	0.2715	0.44
γ₃	0.3236	0.79
γ₄	-0.8038	-2.05**
γ₅	1.5303	4.27***
γ₆	-1.6633	-5.15***
γ₇	0.8251	2.70***
γ₈	-0.1120	-0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8102	4.46***
α ARCH Response to squared shocks	0.1442	4.57***
β GARCH Volatility persistence	0.7925	26.78***

γ₁	-0.3483	-0.86
γ₂	0.2715	0.44
γ₃	0.3236	0.79
γ₄	-0.8038	-2.05**
γ₅	1.5303	4.27***
γ₆	-1.6633	-5.15***
γ₇	0.8251	2.70***
γ₈	-0.1120	-0.54

V-Lab

PIMCO Enhanced Low Duration Active ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PIMCO Enhanced Low Duration Active ETF Analyses