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	67.1344	1.06
αARCH	0.1004	19.92***
βGARCH	0.9990	1,041.71***
νDF	6.7424	3.83***

Parameter	Value	t-statistic
ω const Unconditional variance weight	67.1344	1.06
α ARCH Response to squared shocks	0.1004	19.92***
β GARCH Volatility persistence	0.9990	1,041.71***
ν DF Student-t tail thickness	6.7424	3.83***

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S&P MERVAL Argentina Total Return Index ARS GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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