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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	71
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.6779	73.35***
γ leverage Additional response to negative shocks	0.5000	44.81***
λ₁ tau intercept Baseline long-term coefficient	0.3835	0.70
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

FT Vest Nasdaq-100 ETF - MAY MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FT Vest Nasdaq-100 ETF - MAY Analyses