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	0.6105	4.94***
αARCH	0.1455	10.39***
βGARCH	0.8110	42.53***

γ₁	-0.0163	-3.75***
γ₂	0.0212	3.55***
γ₃	-0.0054	-2.02**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6105	4.94***
α ARCH Response to squared shocks	0.1455	10.39***
β GARCH Volatility persistence	0.8110	42.53***

γ₁	-0.0163	-3.75***
γ₂	0.0212	3.55***
γ₃	-0.0054	-2.02**

V-Lab

Karachi Stock Exchange KSE100 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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