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	4.1275	4.55***
α ARCH Response to squared shocks	0.2834	7.69***
β GARCH Volatility persistence	0.6211	14.72***

γ₁	0.4461	4.14***
γ₂	-0.6009	-3.68***
γ₃	0.4098	2.88***
γ₄	-0.4506	-3.17***
γ₅	0.2461	1.80*
γ₆	-0.0593	-0.33
γ₇	-0.0987	-0.44
γ₈	0.4101	1.64

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Jordan Telecommunications Co PSC Spline-GARCH Volatility Analysis

Date Range:

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