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	1.4421	11.59***
αARCH	0.0586	3.83***
βGARCH	0.8227	13.71***

γ₁	0.0637	5.82***
γ₂	-0.0908	-5.23***
γ₃	0.0352	3.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4421	11.59***
α ARCH Response to squared shocks	0.0586	3.83***
β GARCH Volatility persistence	0.8227	13.71***

γ₁	0.0637	5.82***
γ₂	-0.0908	-5.23***
γ₃	0.0352	3.24***

V-Lab

Sarajevo Stock Exchange Index 30 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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