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	432.9892	2.86***
α ARCH Response to squared shocks	0.0789	39.83***
β GARCH Volatility persistence	0.9766	108.27***
ν DF Student-t tail thickness	2.0082	2,100.66***

V-Lab

Cic Holdings Plc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses