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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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	0.7231	4.70***
αARCH	0.0904	1.01
βGARCH	0.0000	0.00

γ₁	26.4471	3.62***
γ₂	-43.7506	-3.68***
γ₃	21.2272	2.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7231	4.70***
α ARCH Response to squared shocks	0.0904	1.01
β GARCH Volatility persistence	0.0000	0.00

γ₁	26.4471	3.62***
γ₂	-43.7506	-3.68***
γ₃	21.2272	2.81***

V-Lab

SLW Short Duration Income ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SLW Short Duration Income ETF Analyses