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	61
α ARCH Response to squared shocks	0.1401	34.48***
β GARCH Volatility persistence	0.7909	195.72***
γ leverage Additional response to negative shocks	0.0818	13.21***
λ₁ tau intercept Baseline long-term coefficient	0.0419	7.54***
λ₂ forecast adj. Forecast performance sensitivity	0.5369	11.16***
λ₃ tau persistence Long-term factor persistence	0.4277	7.80***

V-Lab

Bangladesh Dhaka Stock Exchange Broad Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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