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	1.1138	4.08***
αARCH	0.1451	5.54***
βGARCH	0.7542	17.58***

γ₁	-0.0272	-0.29
γ₂	0.1907	1.34
γ₃	-0.3128	-2.61***
γ₄	0.2926	2.08**
γ₅	-0.3196	-2.22**
γ₆	0.3055	1.67*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1138	4.08***
α ARCH Response to squared shocks	0.1451	5.54***
β GARCH Volatility persistence	0.7542	17.58***

γ₁	-0.0272	-0.29
γ₂	0.1907	1.34
γ₃	-0.3128	-2.61***
γ₄	0.2926	2.08**
γ₅	-0.3196	-2.22**
γ₆	0.3055	1.67*

V-Lab

Ghana Stock Exchange Composite Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ghana Stock Exchange Composite Index Analyses