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	3,786.0952	8.38***
α ARCH Response to squared shocks	0.1057	133.31***
β GARCH Volatility persistence	0.9976	3,525.00***
ν DF Student-t tail thickness	2.0033

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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