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	0.0223	0.72
α ARCH Response to squared shocks	0.0234	11.93***
β GARCH Volatility persistence	0.9755	429.53***

V-Lab

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