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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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	0.8984	2.50**
αARCH	0.5457	1.38
βGARCH	0.0566	0.85

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8984	2.50**
α ARCH Response to squared shocks	0.5457	1.38
β GARCH Volatility persistence	0.0566	0.85

V-Lab

Grayscale Avalanche Staking ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Avalanche Staking ETF Analyses