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	0.9792	7.28***
α ARCH Response to squared shocks	0.0789	4.57***
β GARCH Volatility persistence	0.7246	22.60***
γ leverage Additional response to negative shocks	0.0038	0.14

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Av-Gad Holdings Ltd GJR-GARCH Volatility Analysis

Date Range:

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