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	1.0440	8.79***
α ARCH Response to squared shocks	0.1717	8.07***
β GARCH Volatility persistence	0.6299	13.66***

γ₁	0.1337	2.22**
γ₂	-0.2265	-2.47**
γ₃	0.2052	3.16***
γ₄	-0.2573	-4.10***
γ₅	0.1483	2.29**
γ₆	0.0631	1.24

V-Lab

Vinalink Intl Freight Forwar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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