CBOE Volatility Index

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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	0.9302	2.47**
αARCH	0.0906	8.60***
βGARCH	0.9841	140.50***
νDF	8.8618	1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9302	2.47**
α ARCH Response to squared shocks	0.0906	8.60***
β GARCH Volatility persistence	0.9841	140.50***
ν DF Student-t tail thickness	8.8618	1.32

V-Lab

State Street Consumer Staples Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Staples Select Sector SPDR ETF Analyses