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

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	2.6158	4.40***
αARCH	0.0622	0.77
βGARCH	0.0000	0.00
γleverage	1.0804	1.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6158	4.40***
α ARCH Response to squared shocks	0.0622	0.77
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	1.0804	1.37

V-Lab

Twin Oak Strategic Solutions ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Twin Oak Strategic Solutions ETF Analyses