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	1.1693	6.26***
α ARCH Response to squared shocks	0.1249	4.62***
β GARCH Volatility persistence	0.7375	11.01***

γ₁	0.2745	1.66*
γ₂	-0.4171	-1.53
γ₃	0.3181	1.36
γ₄	-0.3813	-1.87*
γ₅	0.3900	1.61
γ₆	-0.2752	-0.88
γ₇	0.2654	0.89
γ₈	-0.6017	-2.35**
γ₉	0.7596	3.70***
γ₁₀	-0.4025	-2.94***

V-Lab

Cic Holdings Plc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses