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	0.5554	0.89
αARCH	0.0826	2.59***
βGARCH	0.8853	14.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5554	0.89
α ARCH Response to squared shocks	0.0826	2.59***
β GARCH Volatility persistence	0.8853	14.98***

V-Lab

Grayscale Dogecoin Trust Doge ETF GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grayscale Dogecoin Trust Doge ETF Analyses