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	0.8389	8.85***
α ARCH Response to squared shocks	0.0699	28.83***
β GARCH Volatility persistence	0.9803	404.58***
ν DF Student-t tail thickness	6.2188	5.76***

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Solactive Myanmar-Focused Asia Index GAS-GARCH Student T Volatility Analysis

Date Range:

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