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	1.0223	4.76***
α ARCH Response to squared shocks	0.1676	8.77***
β GARCH Volatility persistence	0.7186	21.17***

γ₁	-0.4961	-2.42**
γ₂	0.8058	2.68***
γ₃	-0.4063	-2.25**
γ₄	-0.0594	-0.38
γ₅	0.3770	2.35**
γ₆	-0.4538	-2.07**
γ₇	0.7502	2.75***
γ₈	-1.1069	-4.35***
γ₉	0.8847	3.75***
γ₁₀	-0.5627	-1.79*

V-Lab

Sam Holdings Corporation Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sam Holdings Corporation Analyses