V-Lab
CBOE Energy ETF Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
95.90%
1 Week
94.10%
1 Month
91.12%
Analysis last updated: Saturday, September 3, 2022 at 04:59 AM 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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 226% 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 17.08*** |
α ARCH Response to squared shocks | 0.1897 | 13.98*** |
β GARCH Volatility persistence | 0.7172 | 57.43*** |
γ leverage Additional response to negative shocks | -0.1315 | -7.29*** |
Persistence:
0.841
Half-life:
4 days
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