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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0545	2.08**
β GARCH Volatility persistence	0.7062	6.57***
γ leverage Additional response to negative shocks	0.0245	0.77
λ₁ tau intercept Baseline long-term coefficient	0.0540	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.2913	0.52
λ₃ tau persistence Long-term factor persistence	0.2716	0.21

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