CBOE Energy ETF Volatility Index EGARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
100.69%
1 Week
98.59%
1 Month
94.43%
Analysis last updated: Wednesday, September 2, 2026 at 03:48 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 186% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 186% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3883 | 3.72*** |
| αARCH | 0.2075 | 3.70*** |
| βGARCH | 0.8885 | 30.68*** |
| γleverage | 0.0999 | 1.98** |
0.888
Persistence6d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3883 | 3.72*** |
α ARCH Response to squared shocks | 0.2075 | 3.70*** |
β GARCH Volatility persistence | 0.8885 | 30.68*** |
γ leverage Additional response to negative shocks | 0.0999 | 1.98** |
Persistence:
0.888
Half-life:
6 days
Other CBOE Energy ETF Volatility Index Analyses
Other EGARCH Analyses on Volatility Indices