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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.7309	4.55***
αARCH	0.0386	0.78
βGARCH	0.7655	1.84*

γ₁	-11.4625	-3.32***
γ₂	15.3667	3.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7309	4.55***
α ARCH Response to squared shocks	0.0386	0.78
β GARCH Volatility persistence	0.7655	1.84*

γ₁	-11.4625	-3.32***
γ₂	15.3667	3.48***

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