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

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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	0.0027	1.50
αARCH	0.0266	0.28
βGARCH	0.8586	9.90***
γleverage	0.0644	0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0027	1.50
α ARCH Response to squared shocks	0.0266	0.28
β GARCH Volatility persistence	0.8586	9.90***
γ leverage Additional response to negative shocks	0.0644	0.44

V-Lab

Sterling Capital Multi-Strategy Income ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sterling Capital Multi-Strategy Income ETF Analyses