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	56
αARCH	0.5000	3.83***
βGARCH	0.0000	0.00
γleverage	-0.5000	-3.74***
λ₁tau intercept	0.3091	0.18
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.4793	0.17

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.5000	3.83***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-3.74***
λ₁ tau intercept Baseline long-term coefficient	0.3091	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.4793	0.17

V-Lab

Ishares S&P 500 EX S&P 1 ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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