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

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
mwindow	41
αARCH	0.0001
βGARCH	0.7480
γleverage	0.4543
λ₁tau intercept	10.0000
λ₂forecast adj.	0.0012
λ₃tau persistence	0.9968

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0001
β GARCH Volatility persistence	0.7480
γ leverage Additional response to negative shocks	0.4543
λ₁ tau intercept Baseline long-term coefficient	10.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0012
λ₃ tau persistence Long-term factor persistence	0.9968

V-Lab

Tradr 2X SNDK Long Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X SNDK Long Daily ETF Analyses