CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	46
αARCH	0.0042	0.11
βGARCH	0.7833	19.28***
γleverage	0.2379	5.13***
λ₁tau intercept	0.0310	1.04
λ₂forecast adj.	0.0669	1.32
λ₃tau persistence	0.8965	11.55***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0042	0.11
β GARCH Volatility persistence	0.7833	19.28***
γ leverage Additional response to negative shocks	0.2379	5.13***
λ₁ tau intercept Baseline long-term coefficient	0.0310	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.0669	1.32
λ₃ tau persistence Long-term factor persistence	0.8965	11.55***

V-Lab

Proshares S&P 500 EX-Technology ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Proshares S&P 500 EX-Technology ETF Analyses