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	0.0198	1.78*
αARCH	0.1298	4.92***
βGARCH	0.9506	70.86***
γleverage	-0.0181	-0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0198	1.78*
α ARCH Response to squared shocks	0.1298	4.92***
β GARCH Volatility persistence	0.9506	70.86***
γ leverage Additional response to negative shocks	-0.0181	-0.71

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Ecuador Guayaquil Stock Exchange BVG EGARCH Volatility Analysis

Date Range:

News Impact Curve

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