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	1.1944	9.34***
α ARCH Response to squared shocks	0.1042	9.42***
β GARCH Volatility persistence	0.6532	22.87***
γ leverage Additional response to negative shocks	0.7715	4.16***

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Av-Gad Holdings Ltd AGARCH Volatility Analysis

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