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	0.0027	1.73*
αARCH	0.0189	4.46***
βGARCH	0.9750	211.26***
γleverage	0.2250	1.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0027	1.73*
α ARCH Response to squared shocks	0.0189	4.46***
β GARCH Volatility persistence	0.9750	211.26***
γ leverage Additional response to negative shocks	0.2250	1.17

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Ecuador Guayaquil Stock Exchange BVG AGARCH Volatility Analysis

Date Range:

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