CBOE 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	9.3368	6.07***
αARCH	0.1209	1.17
βGARCH	0.0272	1.13
γleverage	0.7690	0.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.3368	6.07***
α ARCH Response to squared shocks	0.1209	1.17
β GARCH Volatility persistence	0.0272	1.13
γ leverage Additional response to negative shocks	0.7690	0.33

V-Lab

Grayscale Avalanche Staking ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Avalanche Staking ETF Analyses