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	5.0000	2.39**
αARCH	0.2263	2.55**
βGARCH	0.6304	6.53***
γleverage	-0.1345	-0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.39**
α ARCH Response to squared shocks	0.2263	2.55**
β GARCH Volatility persistence	0.6304	6.53***
γ leverage Additional response to negative shocks	-0.1345	-0.89

V-Lab

Caracas Stock Exchange Stock Market Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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