CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.1079	0.62
αARCH	0.0000	0.00
βGARCH	0.8915	10.97***
γleverage	0.0976	0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1079	0.62
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8915	10.97***
γ leverage Additional response to negative shocks	0.0976	0.60

V-Lab

SEI Select Small CAP ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SEI Select Small CAP ETF Analyses