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	828.2750	9.01***
α ARCH Response to squared shocks	0.0589	111.69***
β GARCH Volatility persistence	0.9966	2,880.37***
ν DF Student-t tail thickness	2.0071

V-Lab

Arabian Pipes Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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