CBOE Volatility Index

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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
ωconst	3.8456	2.39**
αARCH	0.0244	0.47
βGARCH	0.0000	0.00
γleverage	0.0259	0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8456	2.39**
α ARCH Response to squared shocks	0.0244	0.47
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0259	0.23

V-Lab

Direxion Daily Googl Bear 1x Shares GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Direxion Daily Googl Bear 1x Shares Analyses