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	0.8720	2.19**
α ARCH Response to squared shocks	0.4712	5.28***
β GARCH Volatility persistence	0.2990	3.04***

γ₁	-1.9623	-3.49***
γ₂	2.7914	3.27***
γ₃	-1.5977	-2.05**
γ₄	1.2149	1.75*
γ₅	-0.4924	-0.94
γ₆	0.2622	0.55
γ₇	-0.2997	-0.55
γ₈	0.0570	0.12

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