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	44.6272	0.65
αARCH	0.1194	10.39***
βGARCH	0.9819	34.89***
νDF	2.5169	12.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	44.6272	0.65
α ARCH Response to squared shocks	0.1194	10.39***
β GARCH Volatility persistence	0.9819	34.89***
ν DF Student-t tail thickness	2.5169	12.62***

V-Lab

BGI Group Joint Stock Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BGI Group Joint Stock Co Analyses