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	116
α ARCH Response to squared shocks	0.3098	28.84***
β GARCH Volatility persistence	0.5595	46.52***
γ leverage Additional response to negative shocks	-0.0056	-0.33
λ₁ tau intercept Baseline long-term coefficient	0.1097	2.74***
λ₂ forecast adj. Forecast performance sensitivity	0.1427	4.35***
λ₃ tau persistence Long-term factor persistence	0.8121	16.81***

V-Lab

Jordan Telecommunications Co PSC MF2-GARCH Volatility Analysis

Date Range:

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