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	1.4838	11.35***
α ARCH Response to squared shocks	0.0690	4.18***
β GARCH Volatility persistence	0.7987	13.97***

γ₁	0.0713	6.16***
γ₂	-0.1021	-5.63***
γ₃	0.0402	3.62***

V-Lab

Sarajevo Stock Exchange Index 30 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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