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	0.0413	12.97***
α ARCH Response to squared shocks	0.1252	30.10***
β GARCH Volatility persistence	0.8748	192.56***
γ leverage Additional response to negative shocks	0.3402	11.31***
δ power Transformation power	1.0390	20.37***

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Vietnam Ho Chi Minh Stock Index / VN-Index APARCH Volatility Analysis

Date Range:

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