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	1.0234	5.84***
α ARCH Response to squared shocks	0.1237	4.59***
β GARCH Volatility persistence	0.7506	11.98***

γ₁	0.0429	0.56
γ₂	-0.0511	-0.46
γ₃	0.0074	0.10
γ₄	0.0620	0.70
γ₅	-0.2300	-2.38**
γ₆	0.4038	3.60***

V-Lab

Cic Holdings Plc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses