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	120.9855	2.43**
α ARCH Response to squared shocks	0.0427	23.05***
β GARCH Volatility persistence	0.9770	88.45***
ν DF Student-t tail thickness	2.0234	336.45***

V-Lab

Av-Gad Holdings Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Av-Gad Holdings Ltd Analyses