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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	0.8906	5.03***
αARCH	0.2344	5.34***
βGARCH	0.6330	9.91***

γ₁	-0.3069	-2.78***
γ₂	0.4865	2.96***
γ₃	-0.2391	-2.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8906	5.03***
α ARCH Response to squared shocks	0.2344	5.34***
β GARCH Volatility persistence	0.6330	9.91***

γ₁	-0.3069	-2.78***
γ₂	0.4865	2.96***
γ₃	-0.2391	-2.58***

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Bitcoin Group SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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