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	1.7035	11.77***
αARCH	0.1071	6.22***
βGARCH	0.7743	19.56***

γ₁	0.2866	6.73***
γ₂	-0.4090	-5.81***
γ₃	0.2001	3.58***
γ₄	-0.1153	-2.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7035	11.77***
α ARCH Response to squared shocks	0.1071	6.22***
β GARCH Volatility persistence	0.7743	19.56***

γ₁	0.2866	6.73***
γ₂	-0.4090	-5.81***
γ₃	0.2001	3.58***
γ₄	-0.1153	-2.97***

V-Lab

Pakistan Intl Bulk Terminal Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistan Intl Bulk Terminal Analyses