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	0.4743	13.56***
α ARCH Response to squared shocks	0.1352	23.20***
β GARCH Volatility persistence	0.8043	113.65***
γ leverage Additional response to negative shocks	-0.0048	-0.38
δ power Transformation power	2.0163	32.93***

V-Lab

Cic Holdings Plc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses