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
mwindow	91
αARCH	0.0730	4.16***
βGARCH	0.8625	26.82***
γleverage	-0.0220	-1.17
λ₁tau intercept	0.1058	0.86
λ₂forecast adj.	0.0245	1.27
λ₃tau persistence	0.9627	28.87***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0730	4.16***
β GARCH Volatility persistence	0.8625	26.82***
γ leverage Additional response to negative shocks	-0.0220	-1.17
λ₁ tau intercept Baseline long-term coefficient	0.1058	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0245	1.27
λ₃ tau persistence Long-term factor persistence	0.9627	28.87***

V-Lab

Camtek Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Camtek Ltd Analyses