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	1.0517	3.40***
α ARCH Response to squared shocks	0.1490	4.39***
β GARCH Volatility persistence	0.5693	6.07***

γ₁	-1.1891	-2.17**
γ₂	2.1196	2.73***
γ₃	-1.5138	-3.63***
γ₄	1.1593	3.21***
γ₅	-1.0729	-2.64***
γ₆	0.6091	1.52
γ₇	-0.0098	-0.03
γ₈	-0.1508	-0.70

V-Lab

Abans Finance PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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