CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	211.1717	2.22**
αARCH	0.1037	0.44
βGARCH	0.8939	8.85***
νDF	200.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	211.1717	2.22**
α ARCH Response to squared shocks	0.1037	0.44
β GARCH Volatility persistence	0.8939	8.85***
ν DF Student-t tail thickness	200.0000	0.00

V-Lab

Tradr 2X SNDK Long Daily ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X SNDK Long Daily ETF Analyses