CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4016	2.96***
α ARCH Response to squared shocks	0.0878	31.48***
β GARCH Volatility persistence	0.9990	4,646.51***
ν DF Student-t tail thickness	2.0000

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Mauritius Stock Exchange SEMDEX Index GAS-GARCH Student T Volatility Analysis

Date Range:

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