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
m window Rolling window length	91
α ARCH Response to squared shocks	0.0738	15.51***
β GARCH Volatility persistence	0.8628	85.94***
γ leverage Additional response to negative shocks	-0.0228	-4.40***
λ₁ tau intercept Baseline long-term coefficient	0.1042	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.0230	1.98**
λ₃ tau persistence Long-term factor persistence	0.9643	53.08***

V-Lab

Camtek Ltd MF2-GARCH Volatility Analysis

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