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	2.0578	4.21***
α ARCH Response to squared shocks	0.1269	43.51***
β GARCH Volatility persistence	0.9862	311.38***
ν DF Student-t tail thickness	4.3320	16.90***

V-Lab

Tadawul All Share TASI Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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