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

How illiquidity evolves over time

{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	81
αARCH	0.1075	14.21***
βGARCH	0.9412	87.38***
γleverage	-0.1075	-17.51***
λ₁tau intercept	0.0000	0.50
λ₂forecast adj.	0.0084	5.86***
λ₃tau persistence	0.0899	28.41***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1075	14.21***
β GARCH Volatility persistence	0.9412	87.38***
γ leverage Additional response to negative shocks	-0.1075	-17.51***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0084	5.86***
λ₃ tau persistence Long-term factor persistence	0.0899	28.41***

V-Lab

First Eagle US Equity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other First Eagle US Equity ETF Analyses