CBOE Volatility Index

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CBOE Skew 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	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7482	401.60***
γ leverage Additional response to negative shocks	0.5000	200.32***
λ₁ tau intercept Baseline long-term coefficient	4.0431	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.8451	0.33
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Global X Nasdaq-100 Income Edge ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Global X Nasdaq-100 Income Edge ETF Analyses