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

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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	5.0000	1.32
αARCH	0.7840	0.65
βGARCH	0.3688	1.42
γleverage	-0.7110	-0.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.32
α ARCH Response to squared shocks	0.7840	0.65
β GARCH Volatility persistence	0.3688	1.42
γ leverage Additional response to negative shocks	-0.7110	-0.59

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