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	-0.2169	-0.95
αARCH	0.1237	1.21
βGARCH	0.9350	17.75***
γleverage	-0.0771	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.2169	-0.95
α ARCH Response to squared shocks	0.1237	1.21
β GARCH Volatility persistence	0.9350	17.75***
γ leverage Additional response to negative shocks	-0.0771	-0.82

V-Lab

Sterling Capital Multi-Strategy Income ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sterling Capital Multi-Strategy Income ETF Analyses