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	0.0487	27.83***
α ARCH Response to squared shocks	0.1765	44.00***
β GARCH Volatility persistence	0.8235	223.97***
γ leverage Additional response to negative shocks	0.2811	20.61***
δ power Transformation power	1.3331	36.56***

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Tadawul All Share TASI Index APARCH Volatility Analysis

Date Range:

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