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
m window Rolling window length	86
α ARCH Response to squared shocks	0.1568	25.06***
β GARCH Volatility persistence	0.7485	80.99***
γ leverage Additional response to negative shocks	-0.0395	-4.97***
λ₁ tau intercept Baseline long-term coefficient	0.0020	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0308	7.27***
λ₃ tau persistence Long-term factor persistence	0.9691	213.54***

V-Lab

Vinalink Intl Freight Forwar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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