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	1.2348	4.85***
αARCH	0.1919	10.27***
βGARCH	0.7855	46.67***

γ₁	-0.3864	-2.06**
γ₂	0.6466	2.07**
γ₃	-0.4019	-1.40
γ₄	0.3245	1.18
γ₅	-0.6573	-2.36**
γ₆	1.1446	4.53***
γ₇	-0.9929	-5.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2348	4.85***
α ARCH Response to squared shocks	0.1919	10.27***
β GARCH Volatility persistence	0.7855	46.67***

γ₁	-0.3864	-2.06**
γ₂	0.6466	2.07**
γ₃	-0.4019	-1.40
γ₄	0.3245	1.18
γ₅	-0.6573	-2.36**
γ₆	1.1446	4.53***
γ₇	-0.9929	-5.84***

V-Lab

Bangladesh Dhaka Stock Exchange Broad Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bangladesh Dhaka Stock Exchange Broad Index Analyses