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	0.0732	4.18***
βGARCH	0.8633	27.17***
γleverage	-0.0223	-1.19
λ₁tau intercept	0.1045	0.85
λ₂forecast adj.	0.0233	1.26
λ₃tau persistence	0.9640	29.66***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0732	4.18***
β GARCH Volatility persistence	0.8633	27.17***
γ leverage Additional response to negative shocks	-0.0223	-1.19
λ₁ tau intercept Baseline long-term coefficient	0.1045	0.85
λ₂ forecast adj. Forecast performance sensitivity	0.0233	1.26
λ₃ tau persistence Long-term factor persistence	0.9640	29.66***

V-Lab

Camtek Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Camtek Ltd Analyses