CBOE Volatility Index

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CBOE DJIA 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	0.0251	6.93***
αARCH	0.1096	7.47***
βGARCH	0.8099	73.63***
γleverage	0.1225	4.43***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0251	6.93***
α ARCH Response to squared shocks	0.1096	7.47***
β GARCH Volatility persistence	0.8099	73.63***
γ leverage Additional response to negative shocks	0.1225	4.43***

V-Lab

State Street Health Care Select Sector SPDR ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Health Care Select Sector SPDR ETF Analyses