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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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	0.0208	5.60***
αARCH	0.0348	3.11***
βGARCH	0.9134	101.75***
γleverage	0.0688	3.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0208	5.60***
α ARCH Response to squared shocks	0.0348	3.11***
β GARCH Volatility persistence	0.9134	101.75***
γ leverage Additional response to negative shocks	0.0688	3.00***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Utilities Select Sector SPDR ETF Analyses