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	0.0576	22.88***
α ARCH Response to squared shocks	0.1087	24.08***
β GARCH Volatility persistence	0.8301	224.12***
γ leverage Additional response to negative shocks	0.0780	10.16***

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Karachi Stock Exchange KSE100 Index GJR-GARCH Volatility Analysis

Date Range:

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