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	0.54
αARCH	0.0688	0.75
βGARCH	0.6190	1.30
γleverage	-0.3905	-0.41
δpower	0.5000	0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.54
α ARCH Response to squared shocks	0.0688	0.75
β GARCH Volatility persistence	0.6190	1.30
γ leverage Additional response to negative shocks	-0.3905	-0.41
δ power Transformation power	0.5000	0.64

V-Lab

Defiance Daily Target 2X Short HOOD ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Daily Target 2X Short HOOD ETF Analyses