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	0.6092	4.91***
α ARCH Response to squared shocks	0.1449	10.37***
β GARCH Volatility persistence	0.8120	42.66***

γ₁	-0.0164	-3.74***
γ₂	0.0215	3.55***
γ₃	-0.0055	-2.05**

V-Lab

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

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