CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	1.2339	5.13***
αARCH	0.1887	9.16***
βGARCH	0.7787	41.35***

γ₁	0.0462	0.75
γ₂	-0.1534	-1.44
γ₃	0.2507	2.64***
γ₄	-0.2612	-2.59***
γ₅	0.1670	1.24
γ₆	-0.1067	-0.61
γ₇	0.1946	1.25
γ₈	-0.4860	-4.03***
γ₉	0.6116	6.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2339	5.13***
α ARCH Response to squared shocks	0.1887	9.16***
β GARCH Volatility persistence	0.7787	41.35***

γ₁	0.0462	0.75
γ₂	-0.1534	-1.44
γ₃	0.2507	2.64***
γ₄	-0.2612	-2.59***
γ₅	0.1670	1.24
γ₆	-0.1067	-0.61
γ₇	0.1946	1.25
γ₈	-0.4860	-4.03***
γ₉	0.6116	6.33***

V-Lab

Amplify Samsung Sofr ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amplify Samsung Sofr ETF Analyses