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	8.8600	10.76***
α ARCH Response to squared shocks	0.1505	31.64***
β GARCH Volatility persistence	0.9457	169.97***
ν DF Student-t tail thickness	4.5413	14.21***

V-Lab

Sui Northern Gas Pipelines GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sui Northern Gas Pipelines Analyses