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	0.1550	2.11**
αARCH	0.2107	9.91***
βGARCH	0.7655	63.17***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1550	2.11**
α ARCH Response to squared shocks	0.2107	9.91***
β GARCH Volatility persistence	0.7655	63.17***

V-Lab

S&P MERVAL Argentina Total Return Index ARS MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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