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
mwindow	116
αARCH	0.3088	8.23***
βGARCH	0.5627	10.80***
γleverage	-0.0072	-0.10
λ₁tau intercept	0.1054	0.54
λ₂forecast adj.	0.1387	0.58
λ₃tau persistence	0.8173	2.57**

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.3088	8.23***
β GARCH Volatility persistence	0.5627	10.80***
γ leverage Additional response to negative shocks	-0.0072	-0.10
λ₁ tau intercept Baseline long-term coefficient	0.1054	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.1387	0.58
λ₃ tau persistence Long-term factor persistence	0.8173	2.57**

V-Lab

Jordan Telecommunications Co PSC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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