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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9943	9.06***
α ARCH Response to squared shocks	0.1278	6.92***
β GARCH Volatility persistence	0.7361	19.48***

γ₁	0.0318	4.33***
γ₂	-0.0474	-4.13***
γ₃	0.0272	3.05***
γ₄	-0.0188	-2.87***

V-Lab

CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses