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	19.8683	4.98***
α ARCH Response to squared shocks	0.1382	84.35***
β GARCH Volatility persistence	0.9945	906.56***
ν DF Student-t tail thickness	4.2979	44.22***

V-Lab

Sam Holdings Corporation GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sam Holdings Corporation Analyses