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	106.8667	0.81
αARCH	0.1534	33.17***
βGARCH	0.9892	75.15***
νDF	2.0051	3,006.17***

Parameter	Value	t-statistic
ω const Unconditional variance weight	106.8667	0.81
α ARCH Response to squared shocks	0.1534	33.17***
β GARCH Volatility persistence	0.9892	75.15***
ν DF Student-t tail thickness	2.0051	3,006.17***

V-Lab

Ghana Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ghana Stock Exchange Composite Index Analyses