CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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
mwindow	51
αARCH	0.3715	9.90***
βGARCH	0.7144	29.86***
γleverage	-0.3715	-9.60***
λ₁tau intercept	0.2348	0.74
λ₂forecast adj.	0.0122	1.41
λ₃tau persistence	0.9832	71.12***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.3715	9.90***
β GARCH Volatility persistence	0.7144	29.86***
γ leverage Additional response to negative shocks	-0.3715	-9.60***
λ₁ tau intercept Baseline long-term coefficient	0.2348	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.0122	1.41
λ₃ tau persistence Long-term factor persistence	0.9832	71.12***

V-Lab

ProShares Ultra VIX Short-Term Futures ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ProShares Ultra VIX Short-Term Futures ETF Analyses