CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1271	17.31***
α ARCH Response to squared shocks	0.0204	1.35
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.6403	4.52***

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IPO Tech Sofcom GJR-GARCH Volatility Analysis

Date Range:

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