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

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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	0.8469	4.54***
αARCH	0.1222	1.91*
βGARCH	0.8031	9.06***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8469	4.54***
α ARCH Response to squared shocks	0.1222	1.91*
β GARCH Volatility persistence	0.8031	9.06***

V-Lab

Defiance S&P 500 TRG Inc ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance S&P 500 TRG Inc ETF Analyses