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	61
α ARCH Response to squared shocks	0.0847	14.61***
β GARCH Volatility persistence	0.7906	74.47***
γ leverage Additional response to negative shocks	0.0471	4.03***
λ₁ tau intercept Baseline long-term coefficient	0.0004	0.92
λ₂ forecast adj. Forecast performance sensitivity	0.0041	1.95*
λ₃ tau persistence Long-term factor persistence	0.9952	367.37***

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