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	0.8691	0.00
α ARCH Response to squared shocks	0.5544	0.00
β GARCH Volatility persistence	0.8140	0.01
ν DF Student-t tail thickness	6.0763	0.00

V-Lab

IPO Tech Sofcom GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IPO Tech Sofcom Analyses