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	0.4702	20.75***
α ARCH Response to squared shocks	0.1372	18.54***
β GARCH Volatility persistence	0.8040	112.61***
γ leverage Additional response to negative shocks	-0.0028	-0.24

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Cic Holdings Plc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses