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	0.8026	4.44***
α ARCH Response to squared shocks	0.0860	1.77*
β GARCH Volatility persistence	0.5550	2.33**

γ₁	-0.9811	-1.58
γ₂	1.4577	1.55
γ₃	-0.8972	-1.38
γ₄	1.0075	1.97**
γ₅	-0.9063	-3.04***

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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