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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.8694	4.63***
αARCH	0.0477	0.74
βGARCH	0.7541	4.32***

γ₁	-4.8412	-1.67*
γ₂	8.3750	1.97**
γ₃	-4.8723	-2.55**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8694	4.63***
α ARCH Response to squared shocks	0.0477	0.74
β GARCH Volatility persistence	0.7541	4.32***

γ₁	-4.8412	-1.67*
γ₂	8.3750	1.97**
γ₃	-4.8723	-2.55**

V-Lab

Invesco QQQ LOW Vltility ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco QQQ LOW Vltility ETF Analyses