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	1.4694	7.53***
α ARCH Response to squared shocks	0.1468	10.13***
β GARCH Volatility persistence	0.7570	35.34***

γ₁	0.0025	0.55
γ₂	0.0026	0.40
γ₃	-0.0075	-2.68***

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Sui Southern Gas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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