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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0325	4.02***
α ARCH Response to squared shocks	0.0649	3.11***
β GARCH Volatility persistence	0.8744	41.57***
γ leverage Additional response to negative shocks	0.0249	0.68

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Ecuador Guayaquil Stock Exchange BVG GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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