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	2.9934	4.64***
α ARCH Response to squared shocks	0.1186	49.56***
β GARCH Volatility persistence	0.9872	356.27***
ν DF Student-t tail thickness	4.1317	22.74***

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Karachi Stock Exchange KSE100 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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