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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8694	3.39***
α ARCH Response to squared shocks	0.1717	11.43***
β GARCH Volatility persistence	0.8144	62.06***

γ₁	-0.0098	-2.72***
γ₂	0.0125	2.70***

V-Lab

Tadawul All Share TASI Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tadawul All Share TASI Index Analyses