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	0.0102	8.85***
α ARCH Response to squared shocks	0.0542	10.64***
β GARCH Volatility persistence	0.8648	75.12***
γ leverage Additional response to negative shocks	0.0104	1.01

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Sarajevo Stock Exchange Index 30 GJR-GARCH Volatility Analysis

Date Range:

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