CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1537	16.45***
β GARCH Volatility persistence	0.6796	31.18***
γ leverage Additional response to negative shocks	-0.0379	-2.71***
λ₁ tau intercept Baseline long-term coefficient	0.0882	0.72
λ₂ forecast adj. Forecast performance sensitivity	0.0106	2.35**
λ₃ tau persistence Long-term factor persistence	0.9879	176.82***

V-Lab

Unicap Modaraba MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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