CBOE Volatility Index

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{name} Model Equation

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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
ωconst	0.0094	1.13
αARCH	0.0467	2.29**
βGARCH	0.9525	51.22***
γleverage	0.3175	0.62
δpower	0.6145	1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0094	1.13
α ARCH Response to squared shocks	0.0467	2.29**
β GARCH Volatility persistence	0.9525	51.22***
γ leverage Additional response to negative shocks	0.3175	0.62
δ power Transformation power	0.6145	1.22

V-Lab

Ishares S&P 500 EX S&P 1 ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares S&P 500 EX S&P 1 ETF Analyses