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	1.1444	6.24***
αARCH	0.0989	6.64***
βGARCH	0.8335	28.40***

γ₁	0.0642	0.66
γ₂	-0.1916	-1.28
γ₃	0.3139	2.81***
γ₄	-0.2571	-2.60***
γ₅	-0.0134	-0.16
γ₆	0.1500	2.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1444	6.24***
α ARCH Response to squared shocks	0.0989	6.64***
β GARCH Volatility persistence	0.8335	28.40***

γ₁	0.0642	0.66
γ₂	-0.1916	-1.28
γ₃	0.3139	2.81***
γ₄	-0.2571	-2.60***
γ₅	-0.0134	-0.16
γ₆	0.1500	2.66***

V-Lab

BGI Group Joint Stock Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BGI Group Joint Stock Co Analyses