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	1.9824	4.32***
α ARCH Response to squared shocks	0.1223	7.24***
β GARCH Volatility persistence	0.8132	34.28***

γ₁	-0.0937	-1.12
γ₂	0.2688	2.05**
γ₃	-0.2978	-2.67***
γ₄	0.2290	1.83*
γ₅	-0.2073	-1.60
γ₆	0.2047	1.92*
γ₇	-0.2636	-2.19**
γ₈	0.3796	2.23**

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Saudi Industrial Export Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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