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	2,861.8260	7.59***
α ARCH Response to squared shocks	0.0980	117.27***
β GARCH Volatility persistence	0.9980	4,024.35***
ν DF Student-t tail thickness	2.0050

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Cargills Ceylon PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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