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	0.3198	1.41
αARCH	0.2097	1.25
βGARCH	0.7667	7.02***
γleverage	-0.0326	-0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3198	1.41
α ARCH Response to squared shocks	0.2097	1.25
β GARCH Volatility persistence	0.7667	7.02***
γ leverage Additional response to negative shocks	-0.0326	-0.15

V-Lab

Grayscale Dogecoin Trust Doge ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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