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

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	0.0011	0.14
αARCH	0.0887	8.30***
βGARCH	0.8820	77.63***
γleverage	0.6444	7.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0011	0.14
α ARCH Response to squared shocks	0.0887	8.30***
β GARCH Volatility persistence	0.8820	77.63***
γ leverage Additional response to negative shocks	0.6444	7.49***

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State Street Health Care Select Sector SPDR ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Health Care Select Sector SPDR ETF Analyses