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	0.8389	2.21**
αARCH	0.0699	7.21***
βGARCH	0.9803	101.17***
νDF	6.2188	1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8389	2.21**
α ARCH Response to squared shocks	0.0699	7.21***
β GARCH Volatility persistence	0.9803	101.17***
ν DF Student-t tail thickness	6.2188	1.44

V-Lab

Solactive Myanmar-Focused Asia Index GAS-GARCH Student T Volatility Analysis

Date Range:

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