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	0.0472	11.52***
α ARCH Response to squared shocks	0.0383	13.11***
β GARCH Volatility persistence	0.9625	620.19***
γ leverage Additional response to negative shocks	-0.0148	-3.46***

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