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
mwindow	31
αARCH	0.1536	4.21***
βGARCH	0.6817	10.32***
γleverage	-0.0372	-0.70
λ₁tau intercept	0.0477	0.56
λ₂forecast adj.	0.0110	2.88***
λ₃tau persistence	0.9881	238.34***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1536	4.21***
β GARCH Volatility persistence	0.6817	10.32***
γ leverage Additional response to negative shocks	-0.0372	-0.70
λ₁ tau intercept Baseline long-term coefficient	0.0477	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.0110	2.88***
λ₃ tau persistence Long-term factor persistence	0.9881	238.34***

V-Lab

Unicap Modaraba MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Unicap Modaraba Analyses