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	1.2096	4.78***
αARCH	0.1933	10.34***
βGARCH	0.7859	47.03***

γ₁	-0.4048	-2.15**
γ₂	0.6662	2.17**
γ₃	-0.4036	-1.43
γ₄	0.3127	1.13
γ₅	-0.6236	-2.16**
γ₆	1.1058	4.15***
γ₇	-0.9651	-5.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2096	4.78***
α ARCH Response to squared shocks	0.1933	10.34***
β GARCH Volatility persistence	0.7859	47.03***

γ₁	-0.4048	-2.15**
γ₂	0.6662	2.17**
γ₃	-0.4036	-1.43
γ₄	0.3127	1.13
γ₅	-0.6236	-2.16**
γ₆	1.1058	4.15***
γ₇	-0.9651	-5.59***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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