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	1.5929	6.09***
α ARCH Response to squared shocks	0.0821	5.85***
β GARCH Volatility persistence	0.8611	35.38***

γ₁	-0.1910	-2.60***
γ₂	0.3975	3.61***
γ₃	-0.3281	-3.29***
γ₄	0.2325	1.79*
γ₅	-0.2609	-1.91*
γ₆	0.3235	2.77***
γ₇	-0.2757	-2.54**
γ₈	0.1312	1.34
γ₉	-0.0384	-0.62

V-Lab

Arabian Pipes Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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