CBOE Volatility Index

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CBOE DJIA 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	0.1285	0.55
αARCH	0.1190	1.81*
βGARCH	0.8690	16.22***
γleverage	-0.5030	-1.67*
δpower	0.5000	0.67

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1285	0.55
α ARCH Response to squared shocks	0.1190	1.81*
β GARCH Volatility persistence	0.8690	16.22***
γ leverage Additional response to negative shocks	-0.5030	-1.67*
δ power Transformation power	0.5000	0.67

V-Lab

T-Rex 2X Long TTD DY TGT ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T-Rex 2X Long TTD DY TGT ETF Analyses