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	1.6926	4.61***
α ARCH Response to squared shocks	0.1374	5.69***
β GARCH Volatility persistence	0.7220	17.07***

γ₁	0.0260	0.34
γ₂	0.0389	0.32
γ₃	-0.1540	-1.64
γ₄	0.1657	1.98**
γ₅	-0.2066	-2.56**
γ₆	0.2774	3.47***
γ₇	-0.1946	-2.48**
γ₈	0.0649	0.76
γ₉	-0.0368	-0.55

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Ecuador Guayaquil Stock Exchange BVG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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