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	0.0108	4.25***
αARCH	0.1925	11.67***
βGARCH	0.8075	42.02***
γleverage	0.1006	2.35**
δpower	1.9584	7.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0108	4.25***
α ARCH Response to squared shocks	0.1925	11.67***
β GARCH Volatility persistence	0.8075	42.02***
γ leverage Additional response to negative shocks	0.1006	2.35**
δ power Transformation power	1.9584	7.68***

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Bangladesh Dhaka Stock Exchange Broad Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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