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	1.6639	5.84***
αARCH	0.1996	11.67***
βGARCH	0.7595	39.60***

γ₁	0.2398	6.15***
γ₂	-0.3275	-5.36***
γ₃	0.0648	1.45
γ₄	0.0823	2.09**
γ₅	-0.0925	-2.20**
γ₆	0.0380	1.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6639	5.84***
α ARCH Response to squared shocks	0.1996	11.67***
β GARCH Volatility persistence	0.7595	39.60***

γ₁	0.2398	6.15***
γ₂	-0.3275	-5.36***
γ₃	0.0648	1.45
γ₄	0.0823	2.09**
γ₅	-0.0925	-2.20**
γ₆	0.0380	1.06

V-Lab

Vietnam Ho Chi Minh Stock Index / VN-Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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