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	2.8673	5.69***
α ARCH Response to squared shocks	0.2337	5.88***
β GARCH Volatility persistence	0.4147	6.02***

γ₁	-0.2146	-1.88*
γ₂	0.4747	2.89***
γ₃	-0.3389	-3.39***
γ₄	0.0720	0.71
γ₅	0.0870	0.85
γ₆	-0.1488	-1.57
γ₇	0.0929	1.20

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Cargills Ceylon PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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