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	0.6385	27.17***
α ARCH Response to squared shocks	0.1366	17.87***
β GARCH Volatility persistence	0.7574	147.02***
γ leverage Additional response to negative shocks	0.0432	3.21***

V-Lab

Sui Northern Gas Pipelines GJR-GARCH Volatility Analysis

Date Range:

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