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	0.8610	2.20**
αARCH	0.4507	5.53***
βGARCH	0.3072	3.12***

γ₁	-1.8735	-3.47***
γ₂	2.6718	3.33***
γ₃	-1.5505	-2.16**
γ₄	1.1965	1.85*
γ₅	-0.4548	-0.94
γ₆	0.1285	0.29
γ₇	0.0091	0.01
γ₈	-0.9472	-0.86

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8610	2.20**
α ARCH Response to squared shocks	0.4507	5.53***
β GARCH Volatility persistence	0.3072	3.12***

γ₁	-1.8735	-3.47***
γ₂	2.6718	3.33***
γ₃	-1.5505	-2.16**
γ₄	1.1965	1.85*
γ₅	-0.4548	-0.94
γ₆	0.1285	0.29
γ₇	0.0091	0.01
γ₈	-0.9472	-0.86

V-Lab

Caracas Stock Exchange Stock Market Index Spline-GARCH Volatility Analysis

Date Range:

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