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	277.9415	2.87***
α ARCH Response to squared shocks	0.0791	38.91***
β GARCH Volatility persistence	0.9760	105.88***
ν DF Student-t tail thickness	2.0128	1,328.56***

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