Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0426	7.20***
β GARCH Volatility persistence	0.6817	40.45***
γ leverage Additional response to negative shocks	0.1170	13.71***
λ₁ tau intercept Baseline long-term coefficient	4.6756	1.33
λ₂ forecast adj. Forecast performance sensitivity	0.7385	7.77***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Ethereum to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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