CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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
ωlong-run	2.6011	2.74***
αscore	0.1077	13.24***
βpersistence	0.9968	713.03***
νDF	2.3152	264.02***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	2.6011	2.74***
α score Weight on the scaled score	0.1077	13.24***
β persistence Volatility persistence	0.9968	713.03***
ν DF Student-t tail thickness	2.3152	264.02***

V-Lab

Bitcoin Depot Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Depot Inc Analyses