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	1.5755	6.35***
α ARCH Response to squared shocks	0.1482	5.64***
β GARCH Volatility persistence	0.6903	12.32***

γ₁	0.2919	1.08
γ₂	-0.5786	-1.26
γ₃	0.8152	2.35**
γ₄	-1.0434	-4.12***
γ₅	0.7734	3.49***
γ₆	-0.0544	-0.22
γ₇	-0.7655	-3.05***
γ₈	0.8002	3.45***
γ₉	-0.1638	-0.94

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Vinacomin Vang Danh Coal Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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