V-Lab
CBOE Energy ETF Volatility Index MF2-GARCH Volatility Analysis
Last recorded values (Monday, February 14th, 2022):
1 Day
97.74%
1 Week
94.87%
1 Month
90.70%
Analysis last updated: Saturday, September 3, 2022 at 05:01 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 261% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.2114 | 25.74*** |
β GARCH Volatility persistence | 0.6665 | 44.04*** |
γ leverage Additional response to negative shocks | -0.1529 | -13.08*** |
λ₁ tau intercept Baseline long-term coefficient | 0.8151 | 0.42 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0077 | 0.63 |
λ₃ tau persistence Long-term factor persistence | 0.9656 | 13.01*** |
Persistence:
0.801
Half-life:
3 days
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