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
mwindow	26
αARCH	0.0360	2.07**
βGARCH	0.7995	32.58***
γleverage	0.1053	4.98***
λ₁tau intercept	0.0105	2.40**
λ₂forecast adj.	0.0523	3.83***
λ₃tau persistence	0.9387	57.86***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0360	2.07**
β GARCH Volatility persistence	0.7995	32.58***
γ leverage Additional response to negative shocks	0.1053	4.98***
λ₁ tau intercept Baseline long-term coefficient	0.0105	2.40**
λ₂ forecast adj. Forecast performance sensitivity	0.0523	3.83***
λ₃ tau persistence Long-term factor persistence	0.9387	57.86***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Utilities Select Sector SPDR ETF Analyses