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

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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	1.3847	2.59***
αARCH	0.2828	2.94***
βGARCH	0.5871	7.32***

γ₁	0.3954	0.46
γ₂	0.1709	0.14
γ₃	-1.4685	-1.72*
γ₄	1.3373	2.03**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3847	2.59***
α ARCH Response to squared shocks	0.2828	2.94***
β GARCH Volatility persistence	0.5871	7.32***

γ₁	0.3954	0.46
γ₂	0.1709	0.14
γ₃	-1.4685	-1.72*
γ₄	1.3373	2.03**

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