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
ωconst	1.0564	2.19**
αARCH	0.3502	5.55***
βGARCH	0.6408	9.77***

γ₁	-69.4094	-2.21**
γ₂	114.6174	2.58***
γ₃	-85.0496	-3.73***
γ₄	72.2079	3.64***
γ₅	-43.4264	-2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0564	2.19**
α ARCH Response to squared shocks	0.3502	5.55***
β GARCH Volatility persistence	0.6408	9.77***

γ₁	-69.4094	-2.21**
γ₂	114.6174	2.58***
γ₃	-85.0496	-3.73***
γ₄	72.2079	3.64***
γ₅	-43.4264	-2.63***

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