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
ωconst	0.0421	7.72***
αARCH	0.2119	14.57***
βGARCH	0.7728	50.66***
γleverage	0.1904	7.62***
δpower	0.9747	4.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0421	7.72***
α ARCH Response to squared shocks	0.2119	14.57***
β GARCH Volatility persistence	0.7728	50.66***
γ leverage Additional response to negative shocks	0.1904	7.62***
δ power Transformation power	0.9747	4.21***

V-Lab

State Street Materials Select Sector SPDR ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Materials Select Sector SPDR ETF Analyses