CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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
ωlong-run	50.5622	1.44
αscore	0.1011	4.19***
βpersistence	0.9953	258.59***
νDF	5.5293	0.85

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	50.5622	1.44
α score Weight on the scaled score	0.1011	4.19***
β persistence Volatility persistence	0.9953	258.59***
ν DF Student-t tail thickness	5.5293	0.85

V-Lab

Canary Litecoin Etf GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canary Litecoin Etf Analyses