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	1.3321	7.66***
α ARCH Response to squared shocks	0.0913	8.14***
β GARCH Volatility persistence	0.6488	16.23***

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Av-Gad Holdings Ltd GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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