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
ω const Unconditional variance weight	10.8967	3.10***
α ARCH Response to squared shocks	0.3094	12.44***
β GARCH Volatility persistence	0.9212	34.66***
ν DF Student-t tail thickness	4.2775	7.25***

V-Lab

Vietnam Electricity GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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