CBOE Volatility Index

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{name} Model Equation

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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	0.2879	0.35
αARCH	0.2727	3.59***
βGARCH	0.6497	6.34***
γleverage	-0.1501	-1.85*
δpower	0.5000	0.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2879	0.35
α ARCH Response to squared shocks	0.2727	3.59***
β GARCH Volatility persistence	0.6497	6.34***
γ leverage Additional response to negative shocks	-0.1501	-1.85*
δ power Transformation power	0.5000	0.41

V-Lab

Leverage Shares 2X Long GLW Daily ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leverage Shares 2X Long GLW Daily ETF Analyses