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	2.0377	4.30***
αARCH	0.1133	6.52***
βGARCH	0.8313	33.94***

γ₁	-0.0736	-0.86
γ₂	0.2336	1.75*
γ₃	-0.2708	-2.38**
γ₄	0.2047	1.59
γ₅	-0.1765	-1.32
γ₆	0.1529	1.44
γ₇	-0.1678	-1.75*
γ₈	0.1593	1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0377	4.30***
α ARCH Response to squared shocks	0.1133	6.52***
β GARCH Volatility persistence	0.8313	33.94***

γ₁	-0.0736	-0.86
γ₂	0.2336	1.75*
γ₃	-0.2708	-2.38**
γ₄	0.2047	1.59
γ₅	-0.1765	-1.32
γ₆	0.1529	1.44
γ₇	-0.1678	-1.75*
γ₈	0.1593	1.82*

V-Lab

Saudi Industrial Export Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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