CBOE Volatility Index

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CBOE DJIA 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	0.0088	0.48
βGARCH	0.7907	35.54***
γleverage	0.4006	12.15***
λ₁tau intercept	8.0503	3.73***
λ₂forecast adj.	0.2197	1.87*
λ₃tau persistence	0.6831	2.07**

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0088	0.48
β GARCH Volatility persistence	0.7907	35.54***
γ leverage Additional response to negative shocks	0.4006	12.15***
λ₁ tau intercept Baseline long-term coefficient	8.0503	3.73***
λ₂ forecast adj. Forecast performance sensitivity	0.2197	1.87*
λ₃ tau persistence Long-term factor persistence	0.6831	2.07**

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