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	0.7961	4.69***
αARCH	0.1073	1.10
βGARCH	0.0000	0.00

γ₁	34.5353	3.97***
γ₂	-55.7740	-3.95***
γ₃	26.1705	2.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7961	4.69***
α ARCH Response to squared shocks	0.1073	1.10
β GARCH Volatility persistence	0.0000	0.00

γ₁	34.5353	3.97***
γ₂	-55.7740	-3.95***
γ₃	26.1705	2.98***

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