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	2.0601	4.37***
αARCH	0.1137	6.52***
βGARCH	0.8300	33.70***

γ₁	-0.0725	-0.85
γ₂	0.2339	1.76*
γ₃	-0.2736	-2.41**
γ₄	0.2074	1.62
γ₅	-0.1794	-1.36
γ₆	0.1569	1.49
γ₇	-0.1728	-1.77*
γ₈	0.1627	1.83*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0601	4.37***
α ARCH Response to squared shocks	0.1137	6.52***
β GARCH Volatility persistence	0.8300	33.70***

γ₁	-0.0725	-0.85
γ₂	0.2339	1.76*
γ₃	-0.2736	-2.41**
γ₄	0.2074	1.62
γ₅	-0.1794	-1.36
γ₆	0.1569	1.49
γ₇	-0.1728	-1.77*
γ₈	0.1627	1.83*

V-Lab

Saudi Industrial Export Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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