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	1.3877	7.30***
α ARCH Response to squared shocks	0.0894	4.32***
β GARCH Volatility persistence	0.6368	14.84***
γ leverage Additional response to negative shocks	0.0024	0.07

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Av-Gad Holdings Ltd GJR-GARCH Volatility Analysis

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