CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0694	9.92***
β GARCH Volatility persistence	0.7876	46.77***
γ leverage Additional response to negative shocks	0.0270	2.29**
λ₁ tau intercept Baseline long-term coefficient	2.1732	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.7435	0.14
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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