CBOE Volatility Index

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How volatility evolves over time

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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	1.0000	0.47
αARCH	0.0592	1.20
βGARCH	0.8619	8.22***
γleverage	-0.4103	-0.55
δpower	0.9989	0.88

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.47
α ARCH Response to squared shocks	0.0592	1.20
β GARCH Volatility persistence	0.8619	8.22***
γ leverage Additional response to negative shocks	-0.4103	-0.55
δ power Transformation power	0.9989	0.88

V-Lab

Leverage Shares 2X Long GLW Daily ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leverage Shares 2X Long GLW Daily ETF Analyses