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	21
αARCH	0.0070	0.39
βGARCH	0.8152	40.33***
γleverage	0.3552	11.87***
λ₁tau intercept	8.0006	3.41***
λ₂forecast adj.	0.4937	2.12**
λ₃tau persistence	0.4292	1.10

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0070	0.39
β GARCH Volatility persistence	0.8152	40.33***
γ leverage Additional response to negative shocks	0.3552	11.87***
λ₁ tau intercept Baseline long-term coefficient	8.0006	3.41***
λ₂ forecast adj. Forecast performance sensitivity	0.4937	2.12**
λ₃ tau persistence Long-term factor persistence	0.4292	1.10

V-Lab

Ishares Large CAP ACC OT ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Large CAP ACC OT ETF Analyses