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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0143	1.42
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	8.70***
λ₁ tau intercept Baseline long-term coefficient	0.4963	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.7926	0.81
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

IPO Tech Sofcom MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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