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	1.1264	4.08***
αARCH	0.1419	5.56***
βGARCH	0.7602	17.93***

γ₁	-0.0120	-0.13
γ₂	0.1622	1.15
γ₃	-0.2848	-2.44**
γ₄	0.2576	1.89*
γ₅	-0.2690	-2.13**
γ₆	0.2125	2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1264	4.08***
α ARCH Response to squared shocks	0.1419	5.56***
β GARCH Volatility persistence	0.7602	17.93***

γ₁	-0.0120	-0.13
γ₂	0.1622	1.15
γ₃	-0.2848	-2.44**
γ₄	0.2576	1.89*
γ₅	-0.2690	-2.13**
γ₆	0.2125	2.31**

V-Lab

Ghana Stock Exchange Composite Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ghana Stock Exchange Composite Index Analyses