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	0.3304	16.00***
α ARCH Response to squared shocks	0.0674	12.49***
β GARCH Volatility persistence	0.9080	203.77***
γ leverage Additional response to negative shocks	-0.0268	-3.87***

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Camtek Ltd GJR-GARCH Volatility Analysis

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