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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2809	39.97***
β GARCH Volatility persistence	0.7487	89.74***
γ leverage Additional response to negative shocks	-0.2809	-28.93***
λ₁ tau intercept Baseline long-term coefficient	1.5595	0.67
λ₂ forecast adj. Forecast performance sensitivity	0.0183	0.67
λ₃ tau persistence Long-term factor persistence	0.9076	6.66***

V-Lab

CBOE 3-Month Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses