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
mwindow	126
αARCH	0.0984	5.49***
βGARCH	0.7917	51.33***
γleverage	0.1741	6.19***
λ₁tau intercept	0.0056	0.66
λ₂forecast adj.	0.0069	0.87
λ₃tau persistence	0.9910	89.53***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0984	5.49***
β GARCH Volatility persistence	0.7917	51.33***
γ leverage Additional response to negative shocks	0.1741	6.19***
λ₁ tau intercept Baseline long-term coefficient	0.0056	0.66
λ₂ forecast adj. Forecast performance sensitivity	0.0069	0.87
λ₃ tau persistence Long-term factor persistence	0.9910	89.53***

V-Lab

Tadawul All Share TASI Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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