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	4.0671	3.02***
αARCH	0.0902	2.49**
βGARCH	0.8544	30.52***
γleverage	0.0127	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0671	3.02***
α ARCH Response to squared shocks	0.0902	2.49**
β GARCH Volatility persistence	0.8544	30.52***
γ leverage Additional response to negative shocks	0.0127	0.17

V-Lab

Unicap Modaraba GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Unicap Modaraba Analyses