CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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
ωlong-run	4.0459	0.56
αscore	0.0387	0.83
βpersistence	0.9601	13.73***
νDF	4.4440	0.25

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	4.0459	0.56
α score Weight on the scaled score	0.0387	0.83
β persistence Volatility persistence	0.9601	13.73***
ν DF Student-t tail thickness	4.4440	0.25

V-Lab

Direxion Daily Googl Bear 1x Shares GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Direxion Daily Googl Bear 1x Shares Analyses