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	26
αARCH	0.0062	0.32
βGARCH	0.7804	54.30***
γleverage	0.4259	14.36***
λ₁tau intercept	10.0000	3.12***
λ₂forecast adj.	0.6337	2.55**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0062	0.32
β GARCH Volatility persistence	0.7804	54.30***
γ leverage Additional response to negative shocks	0.4259	14.36***
λ₁ tau intercept Baseline long-term coefficient	10.0000	3.12***
λ₂ forecast adj. Forecast performance sensitivity	0.6337	2.55**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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