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
mwindow	81
αARCH	0.9823	111.69***
βGARCH	0.0000	0.04
γleverage	0.0110	0.62
λ₁tau intercept	10.0000	0.34
λ₂forecast adj.	0.0411	0.36
λ₃tau persistence	0.9589	4.72***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.9823	111.69***
β GARCH Volatility persistence	0.0000	0.04
γ leverage Additional response to negative shocks	0.0110	0.62
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.0411	0.36
λ₃ tau persistence Long-term factor persistence	0.9589	4.72***

V-Lab

Tradr 2x Long USAR Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2x Long USAR Daily ETF Analyses