CBOE Energy ETF 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	1.3739	3.56***
α ARCH Response to squared shocks	0.0449	7.95***
β GARCH Volatility persistence	0.9896	289.52***
ν DF Student-t tail thickness	10.0267	0.92

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S&P GSCI Biofuel Spot Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Biofuel Spot Index Analyses