V-Lab
CBOE Energy ETF Volatility Index AGARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
81.68%
1 Week
84.68%
1 Month
88.91%
Analysis last updated: Wednesday, September 2, 2026 at 03:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model Insight
The news-impact curve is shifted (γ = -2.32) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.1169 | 4.46*** |
| αARCH | 0.1434 | 5.72*** |
| βGARCH | 0.6789 | 15.70*** |
| γleverage | -2.3160 | -2.84*** |
0.822
Persistence4d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1169 | 4.46*** |
α ARCH Response to squared shocks | 0.1434 | 5.72*** |
β GARCH Volatility persistence | 0.6789 | 15.70*** |
γ leverage Additional response to negative shocks | -2.3160 | -2.84*** |
Persistence:
0.822
Half-life:
4 days
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