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	126
α ARCH Response to squared shocks	0.0990	22.62***
β GARCH Volatility persistence	0.7915	201.96***
γ leverage Additional response to negative shocks	0.1750	25.18***
λ₁ tau intercept Baseline long-term coefficient	0.0058	4.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0069	4.90***
λ₃ tau persistence Long-term factor persistence	0.9910	506.40***

V-Lab

Tadawul All Share TASI Index MF2-GARCH Volatility Analysis

Date Range:

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