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

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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	0.9250	2.58***
αARCH	0.0935	4.21***
βGARCH	0.8210	22.44***

γ₁	-0.3648	-0.31
γ₂	1.6588	0.97
γ₃	-2.5662	-2.33**
γ₄	2.1805	2.32**
γ₅	-1.9223	-2.26**
γ₆	2.3878	3.00***
γ₇	-3.1836	-4.82***
γ₈	3.4192	5.15***
γ₉	-2.5087	-3.55***
γ₁₀	1.1866	2.25**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9250	2.58***
α ARCH Response to squared shocks	0.0935	4.21***
β GARCH Volatility persistence	0.8210	22.44***

γ₁	-0.3648	-0.31
γ₂	1.6588	0.97
γ₃	-2.5662	-2.33**
γ₄	2.1805	2.32**
γ₅	-1.9223	-2.26**
γ₆	2.3878	3.00***
γ₇	-3.1836	-4.82***
γ₈	3.4192	5.15***
γ₉	-2.5087	-3.55***
γ₁₀	1.1866	2.25**

V-Lab

Proshares S&P 500 EX-Technology ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Proshares S&P 500 EX-Technology ETF Analyses