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	21
α ARCH Response to squared shocks	0.0978	26.66***
β GARCH Volatility persistence	0.7828	122.69***
γ leverage Additional response to negative shocks	0.1195	22.58***
λ₁ tau intercept Baseline long-term coefficient	0.0022	6.16***
λ₂ forecast adj. Forecast performance sensitivity	0.0091	8.26***
λ₃ tau persistence Long-term factor persistence	0.9899	767.39***

V-Lab

Karachi Stock Exchange KSE100 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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