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

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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	0.0291	6.95***
αARCH	0.0926	8.61***
βGARCH	0.9040	97.10***
γleverage	0.6014	5.58***
δpower	1.2565	9.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0291	6.95***
α ARCH Response to squared shocks	0.0926	8.61***
β GARCH Volatility persistence	0.9040	97.10***
γ leverage Additional response to negative shocks	0.6014	5.58***
δ power Transformation power	1.2565	9.04***

V-Lab

State Street Financial Select Sector SPDR ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Financial Select Sector SPDR ETF Analyses