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	0.8803	2.17**
α ARCH Response to squared shocks	0.4753	5.22***
β GARCH Volatility persistence	0.3006	3.09***

γ₁	-1.9435	-3.50***
γ₂	2.7643	3.30***
γ₃	-1.5865	-2.07**
γ₄	1.2205	1.78*
γ₅	-0.5105	-1.00
γ₆	0.2897	0.65
γ₇	-0.3658	-0.74
γ₈	0.1379	0.33

V-Lab

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