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	0.1818	11.16***
α ARCH Response to squared shocks	0.0755	10.20***
β GARCH Volatility persistence	0.8923	140.77***
γ leverage Additional response to negative shocks	0.0286	2.87***

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Saudi Industrial Export Co GJR-GARCH Volatility Analysis

Date Range:

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