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	0.4739	10.08***
α ARCH Response to squared shocks	0.1151	15.56***
β GARCH Volatility persistence	0.8171	61.70***

V-Lab

Cic Holdings Plc GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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