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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	36
α ARCH Response to squared shocks	0.1684	18.00***
β GARCH Volatility persistence	0.6940	39.87***
γ leverage Additional response to negative shocks	-0.1684	-8.98***
λ₁ tau intercept Baseline long-term coefficient	0.8585	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0059	0.70
λ₃ tau persistence Long-term factor persistence	0.9885	47.76***

V-Lab

CBOE S&P 500 9-Day Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 9-Day Volatility Index Analyses