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
m window Rolling window length	46
α ARCH Response to squared shocks	0.0733	18.60***
β GARCH Volatility persistence	0.8394	81.24***
γ leverage Additional response to negative shocks	0.0263	5.19***
λ₁ tau intercept Baseline long-term coefficient	0.0374	2.28**
λ₂ forecast adj. Forecast performance sensitivity	0.0165	2.30**
λ₃ tau persistence Long-term factor persistence	0.9752	90.40***

V-Lab

Arabian Pipes Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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