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	1.6783	4.70***
αARCH	0.1315	5.53***
βGARCH	0.7316	16.65***

γ₁	0.0216	0.31
γ₂	0.0382	0.35
γ₃	-0.1385	-1.64
γ₄	0.1303	1.68*
γ₅	-0.1397	-1.83*
γ₆	0.2100	2.62***
γ₇	-0.1680	-2.32**
γ₈	0.0582	0.68
γ₉	-0.0238	-0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6783	4.70***
α ARCH Response to squared shocks	0.1315	5.53***
β GARCH Volatility persistence	0.7316	16.65***

γ₁	0.0216	0.31
γ₂	0.0382	0.35
γ₃	-0.1385	-1.64
γ₄	0.1303	1.68*
γ₅	-0.1397	-1.83*
γ₆	0.2100	2.62***
γ₇	-0.1680	-2.32**
γ₈	0.0582	0.68
γ₉	-0.0238	-0.15

V-Lab

Ecuador Guayaquil Stock Exchange BVG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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