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	2.8718	5.72***
α ARCH Response to squared shocks	0.2339	5.99***
β GARCH Volatility persistence	0.4122	6.03***

γ₁	-0.2124	-1.89*
γ₂	0.4721	2.91***
γ₃	-0.3408	-3.44***
γ₄	0.0780	0.77
γ₅	0.0785	0.77
γ₆	-0.1389	-1.48
γ₇	0.0847	1.12

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Cargills Ceylon PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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