CBOE Volatility Index

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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	2.4384	0.65
αARCH	0.0000	0.00
βGARCH	0.7440	2.24**
γleverage	0.0571	0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4384	0.65
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7440	2.24**
γ leverage Additional response to negative shocks	0.0571	0.20

V-Lab

Grayscale Avalanche Staking ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Avalanche Staking ETF Analyses