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	45.1985	0.66
αARCH	0.0375	0.62
βGARCH	0.9580	11.15***
νDF	6.3323	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	45.1985	0.66
α ARCH Response to squared shocks	0.0375	0.62
β GARCH Volatility persistence	0.9580	11.15***
ν DF Student-t tail thickness	6.3323	0.10

V-Lab

Leverage Shares 2X Long ECHO Daily ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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