CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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
αARCH	0.0000	0.00
βGARCH	0.0000	0.00
γleverage	0.5000	6.66***
λ₁tau intercept	119.9937

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	6.66***
λ₁ tau intercept Baseline long-term coefficient	119.9937

V-Lab

Tradr 2X Long WDC Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X Long WDC Daily ETF Analyses