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CBOE Skew 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	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7771	45.83***
γ leverage Additional response to negative shocks	0.1628	16.76***
λ₁ tau intercept Baseline long-term coefficient	0.0708	1.13
λ₂ forecast adj. Forecast performance sensitivity	0.1067	1.44
λ₃ tau persistence Long-term factor persistence	0.8696	9.10***

V-Lab

Defiance Space and Connective Tech ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Space and Connective Tech ETF Analyses