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	0.0452	11.69***
α ARCH Response to squared shocks	0.1422	11.26***
β GARCH Volatility persistence	0.8022	73.13***
γ leverage Additional response to negative shocks	-0.0361	-1.86*

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Ghana Stock Exchange Composite Index GJR-GARCH Volatility Analysis

Date Range:

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