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

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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	0.0002	0.53
αARCH	0.0170	0.80
βGARCH	0.9522	34.80***
γleverage	0.2607	0.65
δpower	3.0000	2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0002	0.53
α ARCH Response to squared shocks	0.0170	0.80
β GARCH Volatility persistence	0.9522	34.80***
γ leverage Additional response to negative shocks	0.2607	0.65
δ power Transformation power	3.0000	2.31**

V-Lab

Schwab Core Bond ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Schwab Core Bond ETF Analyses