CBOE Volatility Index

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{name} Model Equation

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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	0.1250	2.35**
αARCH	0.1660	3.43***
βGARCH	0.6141	6.45***

γ₁	-0.6312	-0.11
γ₂	27.1166	2.29**
γ₃	-49.1133	-3.49***
γ₄	26.5038	2.03**
γ₅	-5.3398	-0.57
γ₆	3.1163	0.30
γ₇	-4.6290	-0.46
γ₈	11.3433	1.62
γ₉	-14.2386	-3.35***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1250	2.35**
α ARCH Response to squared shocks	0.1660	3.43***
β GARCH Volatility persistence	0.6141	6.45***

γ₁	-0.6312	-0.11
γ₂	27.1166	2.29**
γ₃	-49.1133	-3.49***
γ₄	26.5038	2.03**
γ₅	-5.3398	-0.57
γ₆	3.1163	0.30
γ₇	-4.6290	-0.46
γ₈	11.3433	1.62
γ₉	-14.2386	-3.35***

V-Lab

Bitcoin Depot Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Depot Inc Analyses