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	1.5709	6.43***
αARCH	0.1512	5.74***
βGARCH	0.6790	12.03***

γ₁	0.2732	1.04
γ₂	-0.5420	-1.22
γ₃	0.7827	2.31**
γ₄	-1.0367	-4.21***
γ₅	0.8215	3.91***
γ₆	-0.1495	-0.65
γ₇	-0.6947	-2.93***
γ₈	0.8213	3.69***
γ₉	-0.2265	-1.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5709	6.43***
α ARCH Response to squared shocks	0.1512	5.74***
β GARCH Volatility persistence	0.6790	12.03***

γ₁	0.2732	1.04
γ₂	-0.5420	-1.22
γ₃	0.7827	2.31**
γ₄	-1.0367	-4.21***
γ₅	0.8215	3.91***
γ₆	-0.1495	-0.65
γ₇	-0.6947	-2.93***
γ₈	0.8213	3.69***
γ₉	-0.2265	-1.36

V-Lab

Vinacomin Vang Danh Coal Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vinacomin Vang Danh Coal Analyses