CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-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	1.0733	1.69*
αARCH	0.4138	2.97***
βGARCH	0.7933	6.61***
γleverage	0.0720	0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0733	1.69*
α ARCH Response to squared shocks	0.4138	2.97***
β GARCH Volatility persistence	0.7933	6.61***
γ leverage Additional response to negative shocks	0.0720	0.56

V-Lab

Defiance Daily Target 2X Long LUNR ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Daily Target 2X Long LUNR ETF Analyses