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	4.3159	3.64***
α ARCH Response to squared shocks	0.1565	3.77***
β GARCH Volatility persistence	0.5392	3.75***

γ₁	2.3328	5.28***
γ₂	-3.2752	-5.43***
γ₃	1.8968	4.28***
γ₄	-1.3039	-2.84***
γ₅	0.1736	0.36
γ₆	-0.0021	0.00
γ₇	0.6866	1.21
γ₈	-1.0230	-2.01**
γ₉	0.7434	1.41
γ₁₀	-0.1843	-0.43

V-Lab

Unicap Modaraba Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Unicap Modaraba Analyses