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

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How volatility evolves over time

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{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	1.0640	2.33**
αARCH	0.0543	1.30
βGARCH	0.8717	12.76***
νDF	6.4084	0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0640	2.33**
α ARCH Response to squared shocks	0.0543	1.30
β GARCH Volatility persistence	0.8717	12.76***
ν DF Student-t tail thickness	6.4084	0.18

V-Lab

TrueShares Eagle Global Next Gen Power Infrastructure ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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