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{name} Model Equation

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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	1.2875	5.49***
αARCH	0.0870	4.08***
βGARCH	0.7555	13.61***

γ₁	-0.0281	-0.12
γ₂	0.1223	0.33
γ₃	-0.1490	-0.58
γ₄	-0.1789	-0.85
γ₅	0.7233	3.92***
γ₆	-0.8370	-4.66***
γ₇	0.4487	3.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2875	5.49***
α ARCH Response to squared shocks	0.0870	4.08***
β GARCH Volatility persistence	0.7555	13.61***

γ₁	-0.0281	-0.12
γ₂	0.1223	0.33
γ₃	-0.1490	-0.58
γ₄	-0.1789	-0.85
γ₅	0.7233	3.92***
γ₆	-0.8370	-4.66***
γ₇	0.4487	3.19***

V-Lab

Ethereum to US Dollar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses