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	21
αARCH	0.1393	6.66***
βGARCH	0.7356	38.94***
γleverage	0.1283	3.74***
λ₁tau intercept	0.0077	1.60
λ₂forecast adj.	0.0225	3.46***
λ₃tau persistence	0.9750	131.74***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1393	6.66***
β GARCH Volatility persistence	0.7356	38.94***
γ leverage Additional response to negative shocks	0.1283	3.74***
λ₁ tau intercept Baseline long-term coefficient	0.0077	1.60
λ₂ forecast adj. Forecast performance sensitivity	0.0225	3.46***
λ₃ tau persistence Long-term factor persistence	0.9750	131.74***

V-Lab

Vietnam Hanoi Stock Exchange Equity Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vietnam Hanoi Stock Exchange Equity Index Analyses