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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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	0.4480	0.95
αARCH	0.0969	2.07**
βGARCH	0.9147	29.83***
γleverage	-0.5587	-1.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4480	0.95
α ARCH Response to squared shocks	0.0969	2.07**
β GARCH Volatility persistence	0.9147	29.83***
γ leverage Additional response to negative shocks	-0.5587	-1.13

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Bitcoin Depot Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Depot Inc Analyses