Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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
mwindow	36
αARCH	0.0631	2.46**
βGARCH	0.7080	14.81***
γleverage	0.1090	2.44**
λ₁tau intercept	0.0471	1.02
λ₂forecast adj.	0.0134	1.90*
λ₃tau persistence	0.9837	110.69***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0631	2.46**
β GARCH Volatility persistence	0.7080	14.81***
γ leverage Additional response to negative shocks	0.1090	2.44**
λ₁ tau intercept Baseline long-term coefficient	0.0471	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.0134	1.90*
λ₃ tau persistence Long-term factor persistence	0.9837	110.69***

V-Lab

Ethereum to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses