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	61
α ARCH Response to squared shocks	0.1627	21.45***
β GARCH Volatility persistence	0.6224	37.81***
γ leverage Additional response to negative shocks	-0.0561	-5.46***
λ₁ tau intercept Baseline long-term coefficient	1.0318	2.24**
λ₂ forecast adj. Forecast performance sensitivity	0.8804	11.23***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Vinacomin Vang Danh Coal MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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