CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0417	0.68
αARCH	0.0339	0.00
βGARCH	0.8997	8.21***
γleverage	1.0000	0.00
δpower	1.6020	1.67*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0417	0.68
α ARCH Response to squared shocks	0.0339	0.00
β GARCH Volatility persistence	0.8997	8.21***
γ leverage Additional response to negative shocks	1.0000	0.00
δ power Transformation power	1.6020	1.67*

V-Lab

Ishares S&P 500 EX S&P 1 ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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