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	0.0405	10.68***
α ARCH Response to squared shocks	0.0411	8.61***
β GARCH Volatility persistence	0.9521	348.76***
γ leverage Additional response to negative shocks	-0.0041	-0.62

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Cargills Ceylon PLC GJR-GARCH Volatility Analysis

Date Range:

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