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	0.1800	1.46
αARCH	0.0946	0.96
βGARCH	0.7464	4.89***
γleverage	-0.0081	-0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1800	1.46
α ARCH Response to squared shocks	0.0946	0.96
β GARCH Volatility persistence	0.7464	4.89***
γ leverage Additional response to negative shocks	-0.0081	-0.06

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TrueShares Eagle Global Next Gen Power Infrastructure ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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