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	1.0939	7.15***
αARCH	0.0970	7.15***
βGARCH	0.8494	35.77***

γ₁	-0.0224	-0.97
γ₂	0.0679	1.89*
γ₃	-0.1397	-4.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0939	7.15***
α ARCH Response to squared shocks	0.0970	7.15***
β GARCH Volatility persistence	0.8494	35.77***

γ₁	-0.0224	-0.97
γ₂	0.0679	1.89*
γ₃	-0.1397	-4.53***

V-Lab

BGI Group Joint Stock Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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