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	3.4684	1.01
α ARCH Response to squared shocks	0.3970	1.11
β GARCH Volatility persistence	0.5399	1.80*

γ₁	10.2206	1.66*
γ₂	-9.9381	-1.11
γ₃	2.2548	0.36
γ₄	-2.4197	-0.41
γ₅	-2.8092	-0.57
γ₆	6.4300	1.33
γ₇	-10.4363	-1.35
γ₈	19.3394	1.68*
γ₉	-20.5878	-2.17**

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