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	11.8741	5.59***
α ARCH Response to squared shocks	0.1016	25.37***
β GARCH Volatility persistence	0.9740	187.01***
ν DF Student-t tail thickness	4.5411	10.02***

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Tng Invt & Trading Jsc GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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