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	4,880.5110	8.58***
α ARCH Response to squared shocks	0.1059	132.75***
β GARCH Volatility persistence	0.9977	3,764.79***
ν DF Student-t tail thickness	2.0027

V-Lab

Vinalink Intl Freight Forwar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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