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

CBOE 1-Day Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	108.0949	2.08**
αARCH	0.0694	0.35
βGARCH	0.9120	6.15***
νDF	18.3904	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	108.0949	2.08**
α ARCH Response to squared shocks	0.0694	0.35
β GARCH Volatility persistence	0.9120	6.15***
ν DF Student-t tail thickness	18.3904	0.03

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leverage Shares 2X Long GLW Daily ETF Analyses