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	0.0466	13.97***
α ARCH Response to squared shocks	0.0768	9.43***
β GARCH Volatility persistence	0.8576	186.67***
γ leverage Additional response to negative shocks	0.0790	5.67***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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