CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month 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	4.3162	2.40**
αARCH	0.0682	2.33**
βGARCH	0.9990	35.85***
νDF	7.9196	0.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3162	2.40**
α ARCH Response to squared shocks	0.0682	2.33**
β GARCH Volatility persistence	0.9990	35.85***
ν DF Student-t tail thickness	7.9196	0.45

V-Lab

Direxion Daily AI and Big Data Bear 2X ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Direxion Daily AI and Big Data Bear 2X ETF Analyses