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	126
α ARCH Response to squared shocks	1.0000
β GARCH Volatility persistence	0.0165
γ leverage Additional response to negative shocks	-0.0329
λ₁ tau intercept Baseline long-term coefficient	0.0194	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.3613	9.32***
λ₃ tau persistence Long-term factor persistence	0.6146	14.40***

V-Lab

Mauritius Stock Exchange SEMDEX Index MF2-GARCH Volatility Analysis

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