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	0.1211	6.82***
α ARCH Response to squared shocks	0.1201	34.98***
β GARCH Volatility persistence	0.8532	203.58***
γ leverage Additional response to negative shocks	-0.6616	-5.77***

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Cargills Ceylon PLC AGARCH Volatility Analysis

Date Range:

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