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	2.7344	4.65***
α ARCH Response to squared shocks	0.1652	6.90***
β GARCH Volatility persistence	0.7756	26.50***

γ₁	0.2072	3.29***
γ₂	-0.3122	-3.06***
γ₃	0.1644	2.24**
γ₄	-0.0671	-1.00
γ₅	0.0430	0.64
γ₆	-0.1556	-3.18***
γ₇	0.2209	5.05***
γ₈	-0.0962	-1.91*
γ₉	-0.0395	-0.65
γ₁₀	0.0480	0.94

V-Lab

Mauritius Stock Exchange SEMDEX Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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