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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	1.0088	6.91***
α ARCH Response to squared shocks	0.1220	3.69***
β GARCH Volatility persistence	0.5484	6.08***

γ₁	0.1284	1.06
γ₂	-0.1428	-0.80
γ₃	0.0376	0.27
γ₄	-0.1053	-0.68
γ₅	0.1806	1.10
γ₆	-0.3004	-1.99**
γ₇	0.4925	3.78***
γ₈	-0.4339	-5.23***

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