CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-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
ωconst	1.7585	4.04***
αARCH	0.2320	7.95***
βGARCH	0.5972	14.33***

γ₁	0.2838	1.50
γ₂	-0.3111	-1.14
γ₃	-0.0861	-0.51
γ₄	0.3312	2.11**
γ₅	-0.4958	-3.17***
γ₆	0.5963	3.72***
γ₇	-0.8725	-3.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7585	4.04***
α ARCH Response to squared shocks	0.2320	7.95***
β GARCH Volatility persistence	0.5972	14.33***

γ₁	0.2838	1.50
γ₂	-0.3111	-1.14
γ₃	-0.0861	-0.51
γ₄	0.3312	2.11**
γ₅	-0.4958	-3.17***
γ₆	0.5963	3.72***
γ₇	-0.8725	-3.63***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ProShares Ultra VIX Short-Term Futures ETF Analyses