CBOE EFA ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

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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	3.4967	0.97
α ARCH Response to squared shocks	0.3791	1.06
β GARCH Volatility persistence	0.5678	1.85*

γ₁	10.2751	1.53
γ₂	-9.9802	-1.04
γ₃	2.2293	0.34
γ₄	-2.3632	-0.39
γ₅	-2.9496	-0.57
γ₆	6.6332	1.32
γ₇	-10.5412	-1.31
γ₈	19.4077	1.62
γ₉	-20.9995	-2.09**

V-Lab

Society Pass Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Society Pass Inc Analyses