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	26
α ARCH Response to squared shocks	0.3574	26.29***
β GARCH Volatility persistence	0.4562	16.69***
γ leverage Additional response to negative shocks	-0.0303	-2.64***
λ₁ tau intercept Baseline long-term coefficient	0.4497	2.12**
λ₂ forecast adj. Forecast performance sensitivity	0.1275	1.68*
λ₃ tau persistence Long-term factor persistence	0.8145	8.20***

V-Lab

Vinpearl JSC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vinpearl JSC Analyses