CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1089	2.92***
β GARCH Volatility persistence	0.0842	2.86***
γ leverage Additional response to negative shocks	0.0185	1.41
λ₁ tau intercept Baseline long-term coefficient	0.1241	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.0792	0.46
λ₃ tau persistence Long-term factor persistence	0.8822	3.10***

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