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	2.0346	4.34***
α ARCH Response to squared shocks	0.1199	7.02***
β GARCH Volatility persistence	0.8198	34.60***

γ₁	-0.0807	-0.95
γ₂	0.2476	1.87*
γ₃	-0.2824	-2.50**
γ₄	0.2135	1.69*
γ₅	-0.1860	-1.43
γ₆	0.1672	1.61
γ₇	-0.1871	-1.87*
γ₈	0.1746	1.91*

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Saudi Industrial Export Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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