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
ω const Unconditional variance weight	0.0541	0.57
α ARCH Response to squared shocks	0.0666	4.58***
β GARCH Volatility persistence	0.8790	24.17***
γ leverage Additional response to negative shocks	-0.2632	-13.48***

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