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

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
ωconst	0.1233	2.33**
αARCH	0.1668	3.45***
βGARCH	0.6161	6.62***

γ₁	-1.1413	-0.19
γ₂	27.9948	2.36**
γ₃	-49.7552	-3.55***
γ₄	26.9459	2.08**
γ₅	-5.5597	-0.59
γ₆	3.0353	0.29
γ₇	-4.0497	-0.38
γ₈	9.8754	1.21
γ₉	-10.8001	-1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1233	2.33**
α ARCH Response to squared shocks	0.1668	3.45***
β GARCH Volatility persistence	0.6161	6.62***

γ₁	-1.1413	-0.19
γ₂	27.9948	2.36**
γ₃	-49.7552	-3.55***
γ₄	26.9459	2.08**
γ₅	-5.5597	-0.59
γ₆	3.0353	0.29
γ₇	-4.0497	-0.38
γ₈	9.8754	1.21
γ₉	-10.8001	-1.16

V-Lab

Bitcoin Depot Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Depot Inc Analyses