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	0.0434	6.90***
αARCH	0.1078	5.47***
βGARCH	0.8057	60.23***
γleverage	0.1520	3.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0434	6.90***
α ARCH Response to squared shocks	0.1078	5.47***
β GARCH Volatility persistence	0.8057	60.23***
γ leverage Additional response to negative shocks	0.1520	3.98***

V-Lab

Tadawul All Share TASI Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tadawul All Share TASI Index Analyses