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

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
mwindow	31
αARCH	0.0000	0.00
βGARCH	0.7808	31.27***
γleverage	0.2488	9.09***
λ₁tau intercept	0.0238	1.55
λ₂forecast adj.	0.1018	1.97**
λ₃tau persistence	0.8829	15.41***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7808	31.27***
γ leverage Additional response to negative shocks	0.2488	9.09***
λ₁ tau intercept Baseline long-term coefficient	0.0238	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.1018	1.97**
λ₃ tau persistence Long-term factor persistence	0.8829	15.41***

V-Lab

iShares MSCI USA Momentum Factor ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI USA Momentum Factor ETF Analyses