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	0.0491	11.57***
α ARCH Response to squared shocks	0.0394	13.25***
β GARCH Volatility persistence	0.9612	604.53***
γ leverage Additional response to negative shocks	-0.0149	-3.40***

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