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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9923	6.89***
α ARCH Response to squared shocks	0.1210	3.53***
β GARCH Volatility persistence	0.5495	6.00***

γ₁	0.0907	0.91
γ₂	-0.0841	-0.58
γ₃	-0.0487	-0.46
γ₄	0.0903	0.91
γ₅	-0.1854	-1.80*
γ₆	0.3290	3.72***
γ₇	-0.2799	-4.79***

V-Lab

CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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