CBOE Volatility Index

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CBOE DJIA 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	0.0378	0.65
αARCH	0.0743	1.34
βGARCH	0.9430	8.22***
νDF	3.8137	0.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0378	0.65
α ARCH Response to squared shocks	0.0743	1.34
β GARCH Volatility persistence	0.9430	8.22***
ν DF Student-t tail thickness	3.8137	0.52

V-Lab

Sterling Capital Multi-Strategy Income ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sterling Capital Multi-Strategy Income ETF Analyses