CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	1.3756	2.89***
αARCH	0.0822	8.12***
βGARCH	0.9857	192.67***
νDF	10.2039	1.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3756	2.89***
α ARCH Response to squared shocks	0.0822	8.12***
β GARCH Volatility persistence	0.9857	192.67***
ν DF Student-t tail thickness	10.2039	1.09

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Utilities Select Sector SPDR ETF Analyses