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	52.2437	1.58
αARCH	0.1017	3.90***
βGARCH	0.9970	324.24***
νDF	6.0062	0.77

Parameter	Value	t-statistic
ω const Unconditional variance weight	52.2437	1.58
α ARCH Response to squared shocks	0.1017	3.90***
β GARCH Volatility persistence	0.9970	324.24***
ν DF Student-t tail thickness	6.0062	0.77

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