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	0.7961	4.49***
α ARCH Response to squared shocks	0.0846	1.74*
β GARCH Volatility persistence	0.5495	2.23**

γ₁	-0.9726	-1.61
γ₂	1.4501	1.58
γ₃	-0.9076	-1.43
γ₄	1.0554	2.08**
γ₅	-0.9752	-3.18***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Av-Gad Holdings Ltd Analyses