CBOE Energy ETF Volatility Index

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CBOE Russell 2000 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0298	16.73***
α ARCH Response to squared shocks	0.0302	14.82***
β GARCH Volatility persistence	0.9242	492.40***
γ leverage Additional response to negative shocks	0.0707	13.35***

V-Lab

State Street Energy Select Sector SPDR ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Energy Select Sector SPDR ETF Analyses