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	21
α ARCH Response to squared shocks	0.1342	29.63***
β GARCH Volatility persistence	0.7340	122.94***
γ leverage Additional response to negative shocks	0.1364	20.12***
λ₁ tau intercept Baseline long-term coefficient	0.0076	11.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0232	11.18***
λ₃ tau persistence Long-term factor persistence	0.9743	438.29***

V-Lab

Vietnam Hanoi Stock Exchange Equity Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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