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	76
α ARCH Response to squared shocks	0.0678	11.23***
β GARCH Volatility persistence	0.8640	79.28***
γ leverage Additional response to negative shocks	0.0344	6.04***
λ₁ tau intercept Baseline long-term coefficient	2.2434	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.3209	0.28
λ₃ tau persistence Long-term factor persistence	0.3623	0.16

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Saudi Industrial Export Co MF2-GARCH Volatility Analysis

Date Range:

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