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	0.3546	6.12***
α ARCH Response to squared shocks	0.1771	7.99***
β GARCH Volatility persistence	0.7959	22.99***
γ leverage Additional response to negative shocks	-0.0064	-0.34

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