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	0.3717	5.04***
α ARCH Response to squared shocks	0.0932	5.31***
β GARCH Volatility persistence	0.7677	16.13***

γ₁	-0.0239	-0.12
γ₂	-0.1040	-0.35
γ₃	-0.0219	-0.11
γ₄	0.4734	2.29**
γ₅	-0.6888	-3.12***
γ₆	0.8224	3.68***
γ₇	-0.8568	-3.93***
γ₈	0.5248	3.15***

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Inversora Juramento Sa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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