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
m window Rolling window length	76
α ARCH Response to squared shocks	0.1120	2.88***
β GARCH Volatility persistence	0.5007	9.36***
γ leverage Additional response to negative shocks	-0.0690	-2.08**
λ₁ tau intercept Baseline long-term coefficient	2.2445	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.5281	0.05
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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