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	1.6822	5.90***
αARCH	0.2000	11.78***
βGARCH	0.7585	39.96***

γ₁	0.2436	6.26***
γ₂	-0.3316	-5.44***
γ₃	0.0629	1.41
γ₄	0.0902	2.26**
γ₅	-0.1102	-2.47**
γ₆	0.0889	1.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6822	5.90***
α ARCH Response to squared shocks	0.2000	11.78***
β GARCH Volatility persistence	0.7585	39.96***

γ₁	0.2436	6.26***
γ₂	-0.3316	-5.44***
γ₃	0.0629	1.41
γ₄	0.0902	2.26**
γ₅	-0.1102	-2.47**
γ₆	0.0889	1.57

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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