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	0.0467	10.23***
α ARCH Response to squared shocks	0.0783	26.57***
β GARCH Volatility persistence	0.9217	284.73***
γ leverage Additional response to negative shocks	0.0730	2.60***
δ power Transformation power	1.2036	16.93***

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Cargills Ceylon PLC Asy. Power MEM Volatility Analysis

Date Range:

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