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	0.8898	2.20**
αARCH	0.4680	5.55***
βGARCH	0.3012	3.09***

γ₁	-1.8641	-3.47***
γ₂	2.6618	3.34***
γ₃	-1.5518	-2.16**
γ₄	1.2089	1.86*
γ₅	-0.4833	-0.99
γ₆	0.1868	0.43
γ₇	-0.1389	-0.22
γ₈	-0.4029	-0.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8898	2.20**
α ARCH Response to squared shocks	0.4680	5.55***
β GARCH Volatility persistence	0.3012	3.09***

γ₁	-1.8641	-3.47***
γ₂	2.6618	3.34***
γ₃	-1.5518	-2.16**
γ₄	1.2089	1.86*
γ₅	-0.4833	-0.99
γ₆	0.1868	0.43
γ₇	-0.1389	-0.22
γ₈	-0.4029	-0.33

V-Lab

Caracas Stock Exchange Stock Market Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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