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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
ωconst	0.4276	2.05**
αARCH	0.1702	6.62***
βGARCH	0.8274	36.21***
γleverage	0.0286	0.42
δpower	1.7408	5.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4276	2.05**
α ARCH Response to squared shocks	0.1702	6.62***
β GARCH Volatility persistence	0.8274	36.21***
γ leverage Additional response to negative shocks	0.0286	0.42
δ power Transformation power	1.7408	5.98***

V-Lab

Bitcoin to US Dollar APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin to US Dollar Analyses