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CBOE EFA ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew 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
m window Rolling window length	126
α ARCH Response to squared shocks	0.1039	2.27**
β GARCH Volatility persistence	0.5483	15.40***
γ leverage Additional response to negative shocks	-0.0823	-2.15**
λ₁ tau intercept Baseline long-term coefficient	0.3822	0.07
λ₂ forecast adj. Forecast performance sensitivity	0.0184	0.12
λ₃ tau persistence Long-term factor persistence	0.9606	2.01**

V-Lab

Profound Medical Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Profound Medical Corp Analyses