CBOE Volatility Index

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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	46
α ARCH Response to squared shocks	0.4813	89.78***
β GARCH Volatility persistence	0.4890	126.03***
γ leverage Additional response to negative shocks	-0.4813	-88.92***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.5179	4.36***
λ₃ tau persistence Long-term factor persistence	0.2528	1.45

V-Lab

First Trust Enhanced Stocks Bonds & Gold ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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