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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0742	15.90***
β GARCH Volatility persistence	0.7257	45.29***
γ leverage Additional response to negative shocks	0.0409	7.48***
λ₁ tau intercept Baseline long-term coefficient	2.8915	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.6028	0.46
λ₃ tau persistence Long-term factor persistence	0.0695	0.03

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Tng Invt & Trading Jsc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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