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	1.0000	6.28***
α ARCH Response to squared shocks	0.2730	22.44***
β GARCH Volatility persistence	0.3704	13.06***
γ leverage Additional response to negative shocks	-0.0023	-0.14
δ power Transformation power	1.0326	7.27***

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Av-Gad Holdings Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

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