Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 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	26.2235	0.78
αARCH	0.0567	7.59***
βGARCH	0.9867	57.21***
νDF	2.9898	4.55***

Parameter	Value	t-statistic
ω const Unconditional variance weight	26.2235	0.78
α ARCH Response to squared shocks	0.0567	7.59***
β GARCH Volatility persistence	0.9867	57.21***
ν DF Student-t tail thickness	2.9898	4.55***

V-Lab

Ethereum to US Dollar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses