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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1906	29.51***
β GARCH Volatility persistence	0.7764	75.85***
γ leverage Additional response to negative shocks	-0.1533	-13.85***
λ₁ tau intercept Baseline long-term coefficient	0.0257	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.0067	3.71***
λ₃ tau persistence Long-term factor persistence	0.9930	539.96***

V-Lab

CBOE DJIA Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses