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	0.0486	6.97***
αARCH	0.1762	11.04***
βGARCH	0.8238	56.26***
γleverage	0.2796	5.16***
δpower	1.3335	9.14***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0486	6.97***
α ARCH Response to squared shocks	0.1762	11.04***
β GARCH Volatility persistence	0.8238	56.26***
γ leverage Additional response to negative shocks	0.2796	5.16***
δ power Transformation power	1.3335	9.14***

V-Lab

Tadawul All Share TASI Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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