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	0.2840	24.45***
α ARCH Response to squared shocks	0.2024	31.95***
β GARCH Volatility persistence	0.7525	163.12***
γ leverage Additional response to negative shocks	0.0198	1.93*

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Arabian Pipes Co Asy. MEM Volatility Analysis

Date Range:

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