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	26
α ARCH Response to squared shocks	0.6908	28.41***
β GARCH Volatility persistence	0.1791	13.01***
γ leverage Additional response to negative shocks	-0.4237	-6.81***
λ₁ tau intercept Baseline long-term coefficient	0.0159	1.34
λ₂ forecast adj. Forecast performance sensitivity	0.0070	2.27**
λ₃ tau persistence Long-term factor persistence	0.9908	352.11***

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