Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 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	0.6882	3.38***
αARCH	0.0596	2.03**
βGARCH	0.8915	40.80***
γleverage	0.0243	0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6882	3.38***
α ARCH Response to squared shocks	0.0596	2.03**
β GARCH Volatility persistence	0.8915	40.80***
γ leverage Additional response to negative shocks	0.0243	0.42

V-Lab

Ethereum to US Dollar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses