CBOE Volatility Index

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CBOE DJIA 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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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	0.1149	0.20
αARCH	0.1428	3.49***
βGARCH	0.8364	15.94***
γleverage	-0.0550	-0.43
δpower	0.5000	0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1149	0.20
α ARCH Response to squared shocks	0.1428	3.49***
β GARCH Volatility persistence	0.8364	15.94***
γ leverage Additional response to negative shocks	-0.0550	-0.43
δ power Transformation power	0.5000	0.28

V-Lab

Tradr 2X SNDK Long Daily ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X SNDK Long Daily ETF Analyses