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Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation

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Figure

Figure 1. Scatter plots of 252 day returns for hypothetical LETF “+3x SPX” and SPXL.
Figure 2. Densities of 252 day returns for LETF Tickers RUSS and TECL and their respective indexes compounded daily with −3x leverage
Figure 4 shows the lag testing results from 10,000 iterations of LETF Ticker SPXL using 252 day periods for each lag parameter value 0 through 8
Table 2.  Execution Times from 100 iterations per parameter set (seconds).
+4

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