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	1.3144	13.36***
α ARCH Response to squared shocks	0.0762	8.70***
β GARCH Volatility persistence	0.8466	95.44***
γ leverage Additional response to negative shocks	0.0250	1.44

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Abans Finance PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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