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	0.6868	28.08***
β GARCH Volatility persistence	0.1776	12.85***
γ leverage Additional response to negative shocks	-0.4218	-6.74***
λ₁ tau intercept Baseline long-term coefficient	0.0162	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.0071	2.26**
λ₃ tau persistence Long-term factor persistence	0.9908	347.40***

V-Lab

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