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	9.4374	9.35***
α ARCH Response to squared shocks	0.1603	28.36***
β GARCH Volatility persistence	0.9441	148.47***
ν DF Student-t tail thickness	4.5234	13.01***

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Sui Southern Gas Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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