CBOE 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	0.5993	4.59***
αARCH	0.0445	0.74
βGARCH	0.7144	1.54

γ₁	-20.1247	-4.31***
γ₂	26.5069	4.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5993	4.59***
α ARCH Response to squared shocks	0.0445	0.74
β GARCH Volatility persistence	0.7144	1.54

γ₁	-20.1247	-4.31***
γ₂	26.5069	4.42***

V-Lab

PGIM S&P 500 Max Buffer ETF - December Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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