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	1.0662	3.14***
αARCH	0.1462	7.51***
βGARCH	0.7938	27.98***

γ₁	-0.2460	-1.49
γ₂	0.4444	1.76*
γ₃	-0.4366	-2.46**
γ₄	0.3418	2.27**
γ₅	-0.0659	-0.47
γ₆	0.0385	0.25
γ₇	-0.3334	-1.55
γ₈	0.5760	2.50**
γ₉	-0.4679	-3.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0662	3.14***
α ARCH Response to squared shocks	0.1462	7.51***
β GARCH Volatility persistence	0.7938	27.98***

γ₁	-0.2460	-1.49
γ₂	0.4444	1.76*
γ₃	-0.4366	-2.46**
γ₄	0.3418	2.27**
γ₅	-0.0659	-0.47
γ₆	0.0385	0.25
γ₇	-0.3334	-1.55
γ₈	0.5760	2.50**
γ₉	-0.4679	-3.53***

V-Lab

Square Textiles PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Square Textiles PLC Analyses