CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.8302	0.26
αARCH	0.0308	0.12
βGARCH	0.9216	8.13***
γleverage	1.0000	0.08
δpower	1.0854	0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8302	0.26
α ARCH Response to squared shocks	0.0308	0.12
β GARCH Volatility persistence	0.9216	8.13***
γ leverage Additional response to negative shocks	1.0000	0.08
δ power Transformation power	1.0854	0.60

V-Lab

Tradr 2X Short SMR Daily ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X Short SMR Daily ETF Analyses