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

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	7.2374	3.76***
αARCH	0.3220	3.07***
βGARCH	0.1382	1.89*
γleverage	2.6842	3.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.2374	3.76***
α ARCH Response to squared shocks	0.3220	3.07***
β GARCH Volatility persistence	0.1382	1.89*
γ leverage Additional response to negative shocks	2.6842	3.31***

V-Lab

Grayscale Dogecoin Trust Doge ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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