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	1.6955	4.73***
α ARCH Response to squared shocks	0.1311	5.53***
β GARCH Volatility persistence	0.7308	16.53***

γ₁	0.0358	0.52
γ₂	0.0115	0.11
γ₃	-0.1158	-1.39
γ₄	0.1123	1.46
γ₅	-0.1253	-1.65*
γ₆	0.1987	2.50**
γ₇	-0.1602	-2.34**
γ₈	0.0543	0.86
γ₉	-0.0250	-0.48

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Ecuador Guayaquil Stock Exchange BVG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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