HSI Volatility Index

CBOE EFA ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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	74.7092	0.78
αARCH	0.1501	1.01
βGARCH	0.8409	5.40***
νDF	3.4526	0.72

Parameter	Value	t-statistic
ω const Unconditional variance weight	74.7092	0.78
α ARCH Response to squared shocks	0.1501	1.01
β GARCH Volatility persistence	0.8409	5.40***
ν DF Student-t tail thickness	3.4526	0.72

V-Lab

Skyline Builders Group HLD Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Skyline Builders Group HLD Ltd Analyses