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	0.8920	2.18**
αARCH	0.4756	5.23***
βGARCH	0.3007	3.11***

γ₁	-1.9135	-3.47***
γ₂	2.7240	3.28***
γ₃	-1.5723	-2.08**
γ₄	1.2191	1.80*
γ₅	-0.5175	-1.02
γ₆	0.3024	0.70
γ₇	-0.3965	-0.84
γ₈	0.1747	0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8920	2.18**
α ARCH Response to squared shocks	0.4756	5.23***
β GARCH Volatility persistence	0.3007	3.11***

γ₁	-1.9135	-3.47***
γ₂	2.7240	3.28***
γ₃	-1.5723	-2.08**
γ₄	1.2191	1.80*
γ₅	-0.5175	-1.02
γ₆	0.3024	0.70
γ₇	-0.3965	-0.84
γ₈	0.1747	0.44

V-Lab

Caracas Stock Exchange Stock Market Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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