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	1.3631	9.00***
α ARCH Response to squared shocks	0.0962	6.50***
β GARCH Volatility persistence	0.8243	29.02***

γ₁	-0.0080	-0.21
γ₂	0.0056	0.09
γ₃	0.0672	1.38
γ₄	-0.1507	-3.53***
γ₅	0.1276	4.14***

V-Lab

Tng Invt & Trading Jsc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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