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
mwindow	126
αARCH	0.1024	1.37
βGARCH	0.8782	15.02***
γleverage	-0.0043	-0.04
λ₁tau intercept	10.0000	0.34
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9059	2.75***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1024	1.37
β GARCH Volatility persistence	0.8782	15.02***
γ leverage Additional response to negative shocks	-0.0043	-0.04
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9059	2.75***

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Bitcoin Depot Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Depot Inc Analyses