CBOE Volatility Index

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CBOE DJIA 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	1.3655	1.94*
αARCH	0.0978	4.40***
βGARCH	0.9819	101.45***
νDF	9.4589	0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3655	1.94*
α ARCH Response to squared shocks	0.0978	4.40***
β GARCH Volatility persistence	0.9819	101.45***
ν DF Student-t tail thickness	9.4589	0.71

V-Lab

Monarch Blue Chips Elite Index ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Monarch Blue Chips Elite Index ETF Analyses