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	39.1155	4.57***
α ARCH Response to squared shocks	0.1463	28.34***
β GARCH Volatility persistence	0.9897	396.34***
ν DF Student-t tail thickness	7.6053	7.39***

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Song Hong Aluminium Jsc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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