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	119.1790	2.44**
α ARCH Response to squared shocks	0.0431	23.03***
β GARCH Volatility persistence	0.9770	89.42***
ν DF Student-t tail thickness	2.0239	333.15***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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