CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month 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	1.0560	6.50***
αARCH	0.0669	3.96***
βGARCH	0.9022	42.26***

γ₁	-0.0274	-1.53
γ₂	0.0571	2.25**
γ₃	-0.0428	-3.51***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0560	6.50***
α ARCH Response to squared shocks	0.0669	3.96***
β GARCH Volatility persistence	0.9022	42.26***

γ₁	-0.0274	-1.53
γ₂	0.0571	2.25**
γ₃	-0.0428	-3.51***

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abrdn Physical Gold Shares ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other abrdn Physical Gold Shares ETF Analyses