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	1.0444	8.83***
α ARCH Response to squared shocks	0.1725	8.10***
β GARCH Volatility persistence	0.6270	13.54***

γ₁	0.1323	2.22**
γ₂	-0.2243	-2.47**
γ₃	0.2039	3.18***
γ₄	-0.2581	-4.16***
γ₅	0.1520	2.38**
γ₆	0.0594	1.18

V-Lab

Vinalink Intl Freight Forwar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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