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	15.1147	3.79***
α ARCH Response to squared shocks	0.2176	18.90***
β GARCH Volatility persistence	0.9771	132.91***
ν DF Student-t tail thickness	8.9939	4.58***

V-Lab

Vinpearl JSC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vinpearl JSC Analyses