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

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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	1.2080	0.61
αARCH	0.2391	1.68*
βGARCH	0.4959	0.58
γleverage	-0.0130	-0.07

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2080	0.61
α ARCH Response to squared shocks	0.2391	1.68*
β GARCH Volatility persistence	0.4959	0.58
γ leverage Additional response to negative shocks	-0.0130	-0.07

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Grayscale Avalanche Staking ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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