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	46
α ARCH Response to squared shocks	0.1509	16.79***
β GARCH Volatility persistence	0.6814	34.07***
γ leverage Additional response to negative shocks	-0.0377	-2.72***
λ₁ tau intercept Baseline long-term coefficient	0.1339	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.0117	1.90*
λ₃ tau persistence Long-term factor persistence	0.9862	128.92***

V-Lab

Unicap Modaraba MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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