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	2.8779	9.78***
α ARCH Response to squared shocks	0.1316	101.37***
β GARCH Volatility persistence	0.9983	5,907.14***
ν DF Student-t tail thickness	4.5484	54.37***

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Bangladesh Dhaka Stock Exchange Broad Index GAS-GARCH Student T Volatility Analysis

Date Range:

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