CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.7610	1.65*
αARCH	0.1727	2.70***
βGARCH	0.5881	3.38***

γ₁	11.1523	0.18
γ₂	-97.3313	-1.11
γ₃	164.2294	2.82***
γ₄	-76.1337	-1.78*
γ₅	-39.9161	-0.69
γ₆	93.8351	1.40
γ₇	-178.1672	-3.11***
γ₈	263.5261	6.54***
γ₉	-191.7687	-8.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7610	1.65*
α ARCH Response to squared shocks	0.1727	2.70***
β GARCH Volatility persistence	0.5881	3.38***

γ₁	11.1523	0.18
γ₂	-97.3313	-1.11
γ₃	164.2294	2.82***
γ₄	-76.1337	-1.78*
γ₅	-39.9161	-0.69
γ₆	93.8351	1.40
γ₇	-178.1672	-3.11***
γ₈	263.5261	6.54***
γ₉	-191.7687	-8.41***

V-Lab

Ishares Large CAP ACC OT ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Large CAP ACC OT ETF Analyses