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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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
ωconst	1.8480	3.80***
αARCH	0.2317	2.65***
βGARCH	0.6176	9.76***
γleverage	0.0432	0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8480	3.80***
α ARCH Response to squared shocks	0.2317	2.65***
β GARCH Volatility persistence	0.6176	9.76***
γ leverage Additional response to negative shocks	0.0432	0.26

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Bitcoin Group SE GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Group SE Analyses