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	1.0571	6.34***
α ARCH Response to squared shocks	0.1162	4.49***
β GARCH Volatility persistence	0.7817	14.50***

γ₁	0.0590	1.17
γ₂	-0.0967	-1.30
γ₃	0.1017	2.06**
γ₄	-0.1556	-3.15***
γ₅	0.1367	3.67***

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