CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Param	Value	t-stat
ωconst	1.2598	4.28***
αARCH	0.1080	5.59***
βGARCH	0.8852	42.31***

γ₁	-0.3800	-2.07**
γ₂	0.5947	2.09**
γ₃	-0.2422	-1.19
γ₄	-0.0762	-0.42
γ₅	0.2300	1.05
γ₆	-0.1808	-0.73
γ₇	0.1359	0.54
γ₈	-1.7904	-1.57
γ₉	5.2112	1.68*
γ₁₀	-5.3469	-1.73*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2598	4.28***
α ARCH Response to squared shocks	0.1080	5.59***
β GARCH Volatility persistence	0.8852	42.31***

γ₁	-0.3800	-2.07**
γ₂	0.5947	2.09**
γ₃	-0.2422	-1.19
γ₄	-0.0762	-0.42
γ₅	0.2300	1.05
γ₆	-0.1808	-0.73
γ₇	0.1359	0.54
γ₈	-1.7904	-1.57
γ₉	5.2112	1.68*
γ₁₀	-5.3469	-1.73*

V-Lab

iShares Semiconductor ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Semiconductor ETF Analyses