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	0.1585	3.56***
α ARCH Response to squared shocks	0.0120	2.89***
β GARCH Volatility persistence	0.9641	338.98***
γ leverage Additional response to negative shocks	-0.0579	-0.96
δ power Transformation power	3.0000	12.51***

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