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	1.0262	6.34***
α ARCH Response to squared shocks	0.0907	1.74*
β GARCH Volatility persistence	0.5780	2.51**

γ₁	-0.0611	-1.10
γ₂	0.2236	2.22**

V-Lab

Av-Gad Holdings Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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