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	0.0327	2.25**
α ARCH Response to squared shocks	0.0273	11.77***
β GARCH Volatility persistence	0.9781	472.73***
γ leverage Additional response to negative shocks	-0.0273	-7.56***

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Caracas Stock Exchange Stock Market Index Asy. MEM Volatility Analysis

Date Range:

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