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	1.2448	4.86***
α ARCH Response to squared shocks	0.1932	10.34***
β GARCH Volatility persistence	0.7844	46.54***

γ₁	-0.3870	-2.00**
γ₂	0.6441	1.99**
γ₃	-0.3948	-1.34
γ₄	0.3233	1.16
γ₅	-0.6656	-2.41**
γ₆	1.1438	4.63***
γ₇	-0.9781	-5.76***

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Bangladesh Dhaka Stock Exchange Broad Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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