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	4.1121	4.49***
αARCH	0.2790	8.03***
βGARCH	0.6310	15.75***

γ₁	0.4273	3.93***
γ₂	-0.5683	-3.46***
γ₃	0.3856	2.73***
γ₄	-0.4421	-3.19***
γ₅	0.2649	2.08**
γ₆	-0.1131	-0.71
γ₇	0.0235	0.13
γ₈	0.0753	0.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1121	4.49***
α ARCH Response to squared shocks	0.2790	8.03***
β GARCH Volatility persistence	0.6310	15.75***

γ₁	0.4273	3.93***
γ₂	-0.5683	-3.46***
γ₃	0.3856	2.73***
γ₄	-0.4421	-3.19***
γ₅	0.2649	2.08**
γ₆	-0.1131	-0.71
γ₇	0.0235	0.13
γ₈	0.0753	0.57

V-Lab

Jordan Telecommunications Co PSC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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