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	1.5618	4.30***
αARCH	0.0880	1.34
βGARCH	0.8219	6.07***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5618	4.30***
α ARCH Response to squared shocks	0.0880	1.34
β GARCH Volatility persistence	0.8219	6.07***

V-Lab

Canary Litecoin Etf Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canary Litecoin Etf Analyses