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	2.0604	4.33***
αARCH	0.1150	6.60***
βGARCH	0.8293	33.83***

γ₁	-0.0699	-0.82
γ₂	0.2275	1.71*
γ₃	-0.2668	-2.36**
γ₄	0.2014	1.56
γ₅	-0.1726	-1.28
γ₆	0.1469	1.37
γ₇	-0.1589	-1.70*
γ₈	0.1515	1.80*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0604	4.33***
α ARCH Response to squared shocks	0.1150	6.60***
β GARCH Volatility persistence	0.8293	33.83***

γ₁	-0.0699	-0.82
γ₂	0.2275	1.71*
γ₃	-0.2668	-2.36**
γ₄	0.2014	1.56
γ₅	-0.1726	-1.28
γ₆	0.1469	1.37
γ₇	-0.1589	-1.70*
γ₈	0.1515	1.80*

V-Lab

Saudi Industrial Export Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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