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	0.8700	3.37***
α ARCH Response to squared shocks	0.1720	11.43***
β GARCH Volatility persistence	0.8141	61.94***

γ₁	-0.0099	-2.73***
γ₂	0.0126	2.72***

V-Lab

Tadawul All Share TASI Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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