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	0.0740	12.59***
β GARCH Volatility persistence	0.8497	80.68***
γ leverage Additional response to negative shocks	0.0348	5.89***
λ₁ tau intercept Baseline long-term coefficient	1.9202	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.3029	0.37
λ₃ tau persistence Long-term factor persistence	0.4257	0.28

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Saudi Industrial Export Co MF2-GARCH Volatility Analysis

Date Range:

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