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	0.0410	10.39***
α ARCH Response to squared shocks	0.1188	29.80***
β GARCH Volatility persistence	0.8608	187.86***

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

Date Range:

News Impact Curve

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Parameter Estimates

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