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	66
αARCH	0.0472	1.98**
βGARCH	0.7289	6.79***
γleverage	0.0272	0.89
λ₁tau intercept	0.0639	0.58
λ₂forecast adj.	0.3019	0.55
λ₃tau persistence	0.1880	0.13

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0472	1.98**
β GARCH Volatility persistence	0.7289	6.79***
γ leverage Additional response to negative shocks	0.0272	0.89
λ₁ tau intercept Baseline long-term coefficient	0.0639	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.3019	0.55
λ₃ tau persistence Long-term factor persistence	0.1880	0.13

V-Lab

Sarajevo Stock Exchange Index 30 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sarajevo Stock Exchange Index 30 Analyses