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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	0.1907	29.45***
β GARCH Volatility persistence	0.7766	76.04***
γ leverage Additional response to negative shocks	-0.1540	-13.86***
λ₁ tau intercept Baseline long-term coefficient	0.0302	1.62
λ₂ forecast adj. Forecast performance sensitivity	0.0069	3.59***
λ₃ tau persistence Long-term factor persistence	0.9926	500.32***

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