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	4.3816	11.90***
α ARCH Response to squared shocks	0.0911	9.89***
β GARCH Volatility persistence	0.8505	113.64***
γ leverage Additional response to negative shocks	0.0119	0.61

V-Lab

Unicap Modaraba GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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