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	0.6086	4.93***
α ARCH Response to squared shocks	0.1451	10.37***
β GARCH Volatility persistence	0.8114	42.54***

γ₁	-0.0164	-3.76***
γ₂	0.0214	3.57***
γ₃	-0.0055	-2.06**

V-Lab

Karachi Stock Exchange KSE100 Index Zero Slope Spline-GARCH Volatility Analysis

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