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	19.0305	7.00***
α ARCH Response to squared shocks	0.1095	59.85***
β GARCH Volatility persistence	0.9989	6,889.11***
ν DF Student-t tail thickness	4.8872	17.20***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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