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	2.9662	1.16
αARCH	0.1193	12.23***
βGARCH	0.9869	86.93***
νDF	4.1195	5.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9662	1.16
α ARCH Response to squared shocks	0.1193	12.23***
β GARCH Volatility persistence	0.9869	86.93***
ν DF Student-t tail thickness	4.1195	5.65***

V-Lab

Karachi Stock Exchange KSE100 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Karachi Stock Exchange KSE100 Index Analyses