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	61
αARCH	0.1326	6.19***
βGARCH	0.7723	21.50***
γleverage	-0.0369	-1.12
λ₁tau intercept	0.7009	1.30
λ₂forecast adj.	0.7747	3.35***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1326	6.19***
β GARCH Volatility persistence	0.7723	21.50***
γ leverage Additional response to negative shocks	-0.0369	-1.12
λ₁ tau intercept Baseline long-term coefficient	0.7009	1.30
λ₂ forecast adj. Forecast performance sensitivity	0.7747	3.35***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Square Textiles PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Square Textiles PLC Analyses