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	5.0000	9.58***
α ARCH Response to squared shocks	0.2246	10.07***
β GARCH Volatility persistence	0.6354	26.68***
γ leverage Additional response to negative shocks	-0.1343	-3.56***

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