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	1.1147	4.85***
α ARCH Response to squared shocks	0.0590	4.36***
β GARCH Volatility persistence	0.8511	22.29***

γ₁	0.0533	0.53
γ₂	-0.2355	-1.30
γ₃	0.4411	2.53**
γ₄	-0.4918	-2.71***
γ₅	0.3542	2.09**
γ₆	-0.1167	-0.74
γ₇	0.0011	0.01
γ₈	-0.0671	-0.57
γ₉	0.1739	1.87*
γ₁₀	-0.1872	-2.89***

V-Lab

Camtek Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Camtek Ltd Analyses