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	8.5859	4.31***
α ARCH Response to squared shocks	0.1753	11.67***
β GARCH Volatility persistence	0.8948	33.75***
ν DF Student-t tail thickness	3.2530	8.56***

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Vietnam Airlines Jsc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vietnam Airlines Jsc Analyses