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	0.0536	21.43***
α ARCH Response to squared shocks	0.1499	44.99***
β GARCH Volatility persistence	0.8268	213.98***
γ leverage Additional response to negative shocks	0.2263	16.19***

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Karachi Stock Exchange KSE100 Index AGARCH Volatility Analysis

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