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	1.6669	0.87
αARCH	0.0378	0.75
βGARCH	0.9405	16.65***
νDF	5.6728	0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6669	0.87
α ARCH Response to squared shocks	0.0378	0.75
β GARCH Volatility persistence	0.9405	16.65***
ν DF Student-t tail thickness	5.6728	0.13

V-Lab

SEI Select Small CAP ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SEI Select Small CAP ETF Analyses