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	1.0513	8.90***
αARCH	0.1728	8.13***
βGARCH	0.6267	13.60***

γ₁	0.1305	2.24**
γ₂	-0.2206	-2.48**
γ₃	0.2006	3.21***
γ₄	-0.2598	-4.32***
γ₅	0.1625	2.60***
γ₆	0.0485	0.98

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0513	8.90***
α ARCH Response to squared shocks	0.1728	8.13***
β GARCH Volatility persistence	0.6267	13.60***

γ₁	0.1305	2.24**
γ₂	-0.2206	-2.48**
γ₃	0.2006	3.21***
γ₄	-0.2598	-4.32***
γ₅	0.1625	2.60***
γ₆	0.0485	0.98

V-Lab

Vinalink Intl Freight Forwar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vinalink Intl Freight Forwar Analyses