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	0.0282	12.93***
α ARCH Response to squared shocks	0.0866	20.09***
β GARCH Volatility persistence	0.9922	1,315.86***
γ leverage Additional response to negative shocks	0.0115	2.45**

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Cargills Ceylon PLC EGARCH Volatility Analysis

Date Range:

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