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	76
αARCH	0.0702	2.84***
βGARCH	0.8587	19.63***
γleverage	0.0346	1.46
λ₁tau intercept	2.0216	0.57
λ₂forecast adj.	0.3034	0.63
λ₃tau persistence	0.4085	0.43

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0702	2.84***
β GARCH Volatility persistence	0.8587	19.63***
γ leverage Additional response to negative shocks	0.0346	1.46
λ₁ tau intercept Baseline long-term coefficient	2.0216	0.57
λ₂ forecast adj. Forecast performance sensitivity	0.3034	0.63
λ₃ tau persistence Long-term factor persistence	0.4085	0.43

V-Lab

Saudi Industrial Export Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Saudi Industrial Export Co Analyses