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	9.3971	2.35**
αARCH	0.1598	7.09***
βGARCH	0.9441	37.33***
νDF	4.5340	3.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.3971	2.35**
α ARCH Response to squared shocks	0.1598	7.09***
β GARCH Volatility persistence	0.9441	37.33***
ν DF Student-t tail thickness	4.5340	3.24***

V-Lab

Sui Southern Gas Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sui Southern Gas Co Ltd Analyses