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	2.7307	7.53***
αARCH	0.1890	9.22***
βGARCH	0.7127	23.37***

γ₁	0.0734	3.81***
γ₂	-0.0881	-3.07***
γ₃	0.0329	1.71*
γ₄	-0.0254	-1.91*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7307	7.53***
α ARCH Response to squared shocks	0.1890	9.22***
β GARCH Volatility persistence	0.7127	23.37***

γ₁	0.0734	3.81***
γ₂	-0.0881	-3.07***
γ₃	0.0329	1.71*
γ₄	-0.0254	-1.91*

V-Lab

Tourism Enterprise Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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