CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6753	15.26***
α ARCH Response to squared shocks	0.0936	13.79***
β GARCH Volatility persistence	0.7867	86.77***
γ leverage Additional response to negative shocks	0.0465	3.14***

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El Al Israel Airlines Ltd GJR-GARCH Volatility Analysis

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