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
m window Rolling window length	76
α ARCH Response to squared shocks	0.1336	37.31***
β GARCH Volatility persistence	0.7667	126.89***
γ leverage Additional response to negative shocks	0.0044	0.79
λ₁ tau intercept Baseline long-term coefficient	0.9460	4.05***
λ₂ forecast adj. Forecast performance sensitivity	0.8098	13.84***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Sam Holdings Corporation MF2-GARCH Volatility Analysis

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