CBOE Volatility Index

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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	0.3326	1.13
αARCH	0.2031	1.86*
βGARCH	0.7563	5.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3326	1.13
α ARCH Response to squared shocks	0.2031	1.86*
β GARCH Volatility persistence	0.7563	5.54***

V-Lab

Grayscale Dogecoin Trust Doge ETF MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Dogecoin Trust Doge ETF Analyses