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	3.3724	3.50***
α ARCH Response to squared shocks	0.1846	5.10***
β GARCH Volatility persistence	0.4096	3.94***

γ₁	1.3073	3.15***
γ₂	-1.7274	-3.12***
γ₃	1.0183	3.07***
γ₄	-0.8567	-2.47**
γ₅	-0.2063	-0.49
γ₆	1.1104	2.66***
γ₇	-1.1170	-2.87***
γ₈	0.6131	1.50
γ₉	-0.0701	-0.23

V-Lab

Unicap Modaraba Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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