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	71
α ARCH Response to squared shocks	0.7384
β GARCH Volatility persistence	0.0116
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	6.5251	9.90***
λ₂ forecast adj. Forecast performance sensitivity	0.5365	9.25***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Sarajevo Stock Exchange Index 30 MF2-GARCH Volatility Analysis

Date Range:

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