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

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
mwindow	61
αARCH	0.0003	0.01
βGARCH	0.8170	36.23***
γleverage	0.2451	8.18***
λ₁tau intercept	0.0175	1.68*
λ₂forecast adj.	0.1085	2.37**
λ₃tau persistence	0.8771	17.18***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0003	0.01
β GARCH Volatility persistence	0.8170	36.23***
γ leverage Additional response to negative shocks	0.2451	8.18***
λ₁ tau intercept Baseline long-term coefficient	0.0175	1.68*
λ₂ forecast adj. Forecast performance sensitivity	0.1085	2.37**
λ₃ tau persistence Long-term factor persistence	0.8771	17.18***

V-Lab

Invesco S&P 500 Quality ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco S&P 500 Quality ETF Analyses