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	31
α ARCH Response to squared shocks	0.1540	16.44***
β GARCH Volatility persistence	0.6791	30.98***
γ leverage Additional response to negative shocks	-0.0385	-2.74***
λ₁ tau intercept Baseline long-term coefficient	0.0924	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.0106	2.33**
λ₃ tau persistence Long-term factor persistence	0.9879	174.63***

V-Lab

Unicap Modaraba MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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