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
m window Rolling window length	51
α ARCH Response to squared shocks	0.2413	15.46***
β GARCH Volatility persistence	0.4765	13.02***
γ leverage Additional response to negative shocks	-0.1510	-7.61***
λ₁ tau intercept Baseline long-term coefficient	0.7496	0.53
λ₂ forecast adj. Forecast performance sensitivity	0.2661	0.56
λ₃ tau persistence Long-term factor persistence	0.6165	0.88

V-Lab

Cic Holdings Plc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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