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	0.3261	4.39***
αARCH	0.3493	16.04***
βGARCH	0.5970	21.87***
γleverage	0.0043	0.16
δpower	1.1629	5.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3261	4.39***
α ARCH Response to squared shocks	0.3493	16.04***
β GARCH Volatility persistence	0.5970	21.87***
γ leverage Additional response to negative shocks	0.0043	0.16
δ power Transformation power	1.1629	5.75***

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Tourism Enterprise Co Asy. Power MEM Volatility Analysis

Date Range:

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Parameter Estimates

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