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	0.7975	4.53***
α ARCH Response to squared shocks	0.0838	1.75*
β GARCH Volatility persistence	0.5442	2.18**

γ₁	-0.9554	-1.62
γ₂	1.4204	1.59
γ₃	-0.8736	-1.41
γ₄	1.0040	2.01**
γ₅	-0.9303	-3.07***

V-Lab

Av-Gad Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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