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	2.5271	19.75***
α ARCH Response to squared shocks	0.3017	12.59***
β GARCH Volatility persistence	0.3112	14.04***
γ leverage Additional response to negative shocks	-0.0079	-0.20

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Av-Gad Holdings Ltd Asy. MEM Volatility Analysis

Date Range:

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