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	0.4861	10.49***
α ARCH Response to squared shocks	0.1250	9.37***
β GARCH Volatility persistence	0.8138	61.95***
γ leverage Additional response to negative shocks	-0.0193	-1.10

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Cic Holdings Plc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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