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	0.6156	5.12***
αARCH	0.1453	10.29***
βGARCH	0.8097	41.52***

γ₁	-0.0149	-3.37***
γ₂	0.0178	2.76***
γ₃	0.0018	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6156	5.12***
α ARCH Response to squared shocks	0.1453	10.29***
β GARCH Volatility persistence	0.8097	41.52***

γ₁	-0.0149	-3.37***
γ₂	0.0178	2.76***
γ₃	0.0018	0.34

V-Lab

Karachi Stock Exchange KSE100 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Karachi Stock Exchange KSE100 Index Analyses