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	2.5308	5.58***
α ARCH Response to squared shocks	0.1187	6.79***
β GARCH Volatility persistence	0.8387	35.34***

γ₁	0.2066	5.60***
γ₂	-0.2514	-4.31***
γ₃	0.0476	1.23

V-Lab

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

Date Range:

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