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	1.6813	4.71***
αARCH	0.1320	5.54***
βGARCH	0.7304	16.56***

γ₁	0.0223	0.32
γ₂	0.0369	0.34
γ₃	-0.1370	-1.63
γ₄	0.1286	1.67*
γ₅	-0.1375	-1.81*
γ₆	0.2081	2.60***
γ₇	-0.1680	-2.33**
γ₈	0.0607	0.72
γ₉	-0.0335	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6813	4.71***
α ARCH Response to squared shocks	0.1320	5.54***
β GARCH Volatility persistence	0.7304	16.56***

γ₁	0.0223	0.32
γ₂	0.0369	0.34
γ₃	-0.1370	-1.63
γ₄	0.1286	1.67*
γ₅	-0.1375	-1.81*
γ₆	0.2081	2.60***
γ₇	-0.1680	-2.33**
γ₈	0.0607	0.72
γ₉	-0.0335	-0.22

V-Lab

Ecuador Guayaquil Stock Exchange BVG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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