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	0.3267	16.06***
α ARCH Response to squared shocks	0.0671	12.44***
β GARCH Volatility persistence	0.9087	205.08***
γ leverage Additional response to negative shocks	-0.0266	-3.86***

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