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	1.5697	6.41***
α ARCH Response to squared shocks	0.1491	5.72***
β GARCH Volatility persistence	0.6839	12.16***

γ₁	0.2771	1.05
γ₂	-0.5500	-1.23
γ₃	0.7901	2.32**
γ₄	-1.0380	-4.19***
γ₅	0.8093	3.80***
γ₆	-0.1238	-0.53
γ₇	-0.7191	-2.99***
γ₈	0.8304	3.69***
γ₉	-0.2266	-1.35

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Vinacomin Vang Danh Coal Zero Slope Spline-GARCH Volatility Analysis

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