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	1.0382	4.77***
α ARCH Response to squared shocks	0.1684	8.72***
β GARCH Volatility persistence	0.7180	21.07***

γ₁	-0.4726	-2.27**
γ₂	0.7713	2.53**
γ₃	-0.3928	-2.15**
γ₄	-0.0555	-0.35
γ₅	0.3570	2.22**
γ₆	-0.4223	-1.93*
γ₇	0.7073	2.62***
γ₈	-1.0357	-4.20***
γ₉	0.7365	3.78***
γ₁₀	-0.1829	-1.34

V-Lab

Sam Holdings Corporation Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sam Holdings Corporation Analyses