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
mwindow	71
αARCH	0.0000	0.00
βGARCH	0.9002	92.87***
γleverage	0.1404	10.40***
λ₁tau intercept	0.0069	1.12
λ₂forecast adj.	0.0186	1.51
λ₃tau persistence	0.9764	60.40***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9002	92.87***
γ leverage Additional response to negative shocks	0.1404	10.40***
λ₁ tau intercept Baseline long-term coefficient	0.0069	1.12
λ₂ forecast adj. Forecast performance sensitivity	0.0186	1.51
λ₃ tau persistence Long-term factor persistence	0.9764	60.40***

V-Lab

State Street Industrial Select Sector SPDR ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Industrial Select Sector SPDR ETF Analyses