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	1.4462	11.54***
αARCH	0.0609	3.92***
βGARCH	0.8157	13.66***

γ₁	0.0642	5.84***
γ₂	-0.0914	-5.25***
γ₃	0.0353	3.25***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4462	11.54***
α ARCH Response to squared shocks	0.0609	3.92***
β GARCH Volatility persistence	0.8157	13.66***

γ₁	0.0642	5.84***
γ₂	-0.0914	-5.25***
γ₃	0.0353	3.25***

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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