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
ωconst	0.0065	0.47
αARCH	0.0697	0.72
βGARCH	0.9051	9.56***
γleverage	1.0000	0.59
δpower	1.0515	1.95*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0065	0.47
α ARCH Response to squared shocks	0.0697	0.72
β GARCH Volatility persistence	0.9051	9.56***
γ leverage Additional response to negative shocks	1.0000	0.59
δ power Transformation power	1.0515	1.95*

V-Lab

PGIM S&P 500 Max Buffer ETF - December APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PGIM S&P 500 Max Buffer ETF - December Analyses