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	1.4707	7.54***
αARCH	0.1468	10.13***
βGARCH	0.7571	35.35***

γ₁	0.0025	0.56
γ₂	0.0024	0.39
γ₃	-0.0074	-2.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4707	7.54***
α ARCH Response to squared shocks	0.1468	10.13***
β GARCH Volatility persistence	0.7571	35.35***

γ₁	0.0025	0.56
γ₂	0.0024	0.39
γ₃	-0.0074	-2.65***

V-Lab

Sui Southern Gas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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