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	2.8639	5.69***
α ARCH Response to squared shocks	0.2357	5.83***
β GARCH Volatility persistence	0.4071	5.92***

γ₁	-0.2167	-1.91*
γ₂	0.4784	2.93***
γ₃	-0.3409	-3.41***
γ₄	0.0698	0.69
γ₅	0.0984	0.95
γ₆	-0.1808	-1.75*
γ₇	0.1817	1.50

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Cargills Ceylon PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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