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	1.0120	2.13**
αARCH	0.3709	5.04***
βGARCH	0.6269	8.71***

γ₁	-116.7596	-1.91*
γ₂	155.4161	2.05**
γ₃	-35.3347	-1.05
γ₄	-41.0145	-1.45
γ₅	85.7451	3.45***
γ₆	-66.7418	-3.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0120	2.13**
α ARCH Response to squared shocks	0.3709	5.04***
β GARCH Volatility persistence	0.6269	8.71***

γ₁	-116.7596	-1.91*
γ₂	155.4161	2.05**
γ₃	-35.3347	-1.05
γ₄	-41.0145	-1.45
γ₅	85.7451	3.45***
γ₆	-66.7418	-3.19***

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