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	36
αARCH	0.1414	6.49***
βGARCH	0.5971	17.37***
γleverage	0.0665	2.36**
λ₁tau intercept	1.1431	1.38
λ₂forecast adj.	0.2704	1.41
λ₃tau persistence	0.5718	1.89*

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1414	6.49***
β GARCH Volatility persistence	0.5971	17.37***
γ leverage Additional response to negative shocks	0.0665	2.36**
λ₁ tau intercept Baseline long-term coefficient	1.1431	1.38
λ₂ forecast adj. Forecast performance sensitivity	0.2704	1.41
λ₃ tau persistence Long-term factor persistence	0.5718	1.89*

V-Lab

Sui Southern Gas Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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