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	0.1619	1.40
α ARCH Response to squared shocks	0.0907	1.40
β GARCH Volatility persistence	0.0000	0.00

γ₁	-159.4444	-2.07**
γ₂	225.7224	2.22**
γ₃	-117.4438	-2.49**
γ₄	108.7811	2.07**
γ₅	-126.5589	-2.32**
γ₆	140.3163	2.23**
γ₇	-150.5839	-2.27**
γ₈	132.1185	2.59***
γ₉	-31.2817	-0.66
γ₁₀	-47.9518	-1.51

V-Lab

IPO Tech Sofcom Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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