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	1.0089	5.36***
α ARCH Response to squared shocks	0.0409	4.79***
β GARCH Volatility persistence	0.9290	55.56***

γ₁	-0.0492	-2.52**
γ₂	0.0783	2.69***
γ₃	-0.0388	-1.99**
γ₄	0.0128	0.99

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