CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3775	32.81***
α ARCH Response to squared shocks	0.2198	21.96***
β GARCH Volatility persistence	0.4503	49.96***
γ leverage Additional response to negative shocks	-1.1740	-6.64***

V-Lab

Abans Finance PLC AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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