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	1.2288	7.77***
α ARCH Response to squared shocks	0.1607	10.74***
β GARCH Volatility persistence	0.7240	31.26***

γ₁	-0.0016	-0.37
γ₂	0.0068	1.13
γ₃	-0.0076	-2.81***

V-Lab

Sui Northern Gas Pipelines Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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