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	2.1760	6.27***
αARCH	0.1218	7.03***
βGARCH	0.8433	45.66***

γ₁	0.0495	4.70***
γ₂	-0.0667	-4.13***
γ₃	0.0278	2.30**
γ₄	-0.0076	-0.67
γ₅	-0.0093	-1.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1760	6.27***
α ARCH Response to squared shocks	0.1218	7.03***
β GARCH Volatility persistence	0.8433	45.66***

γ₁	0.0495	4.70***
γ₂	-0.0667	-4.13***
γ₃	0.0278	2.30**
γ₄	-0.0076	-0.67
γ₅	-0.0093	-1.03

V-Lab

S&P MERVAL Argentina Total Return Index ARS Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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