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	1.7828	3.09***
α ARCH Response to squared shocks	0.1078	1.94*
β GARCH Volatility persistence	0.7132	5.49***

γ₁	9.7995	2.26**
γ₂	-15.2806	-2.16**
γ₃	8.7525	1.87*
γ₄	-4.1762	-1.64

V-Lab

Miral Dental Compa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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