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	0.1707	8.69***
α ARCH Response to squared shocks	0.0998	19.41***
β GARCH Volatility persistence	0.8884	132.44***
γ leverage Additional response to negative shocks	0.0776	3.99***
δ power Transformation power	1.7939	24.08***

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Saudi Industrial Export Co APARCH Volatility Analysis

Date Range:

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