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	0.8491	13.34***
α ARCH Response to squared shocks	0.1215	10.65***
β GARCH Volatility persistence	0.7163	49.30***
γ leverage Additional response to negative shocks	0.0576	2.37**

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Vietnam Airlines Jsc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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