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	1.4164	10.07***
α ARCH Response to squared shocks	0.0946	6.54***
β GARCH Volatility persistence	0.8365	32.07***

γ₁	0.0015	0.11
γ₂	0.0218	1.02
γ₃	-0.0769	-3.49***

V-Lab

Tng Invt & Trading Jsc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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