CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.3161	3.06***
αARCH	0.2205	3.82***
βGARCH	0.6009	8.06***

γ₁	0.4526	0.54
γ₂	0.2186	0.18
γ₃	-1.7283	-1.95*
γ₄	1.5743	2.38**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3161	3.06***
α ARCH Response to squared shocks	0.2205	3.82***
β GARCH Volatility persistence	0.6009	8.06***

γ₁	0.4526	0.54
γ₂	0.2186	0.18
γ₃	-1.7283	-1.95*
γ₄	1.5743	2.38**

V-Lab

-1x Short VIX Futures ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other -1x Short VIX Futures ETF Analyses