CBOE Volatility Index

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
ωconst	85.9517	0.68
αARCH	0.0319	12.67***
βGARCH	0.9917	82.95***
νDF	2.0620	70.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	85.9517	0.68
α ARCH Response to squared shocks	0.0319	12.67***
β GARCH Volatility persistence	0.9917	82.95***
ν DF Student-t tail thickness	2.0620	70.41***

V-Lab

Camtek Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Camtek Ltd Analyses