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	1.0395	10.04***
α ARCH Response to squared shocks	0.2067	7.19***
β GARCH Volatility persistence	0.6193	11.91***

γ₁	-0.0881	-3.70***
γ₂	0.1329	4.29***

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Song Hong Aluminium Jsc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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