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	0.0594	16.62***
α ARCH Response to squared shocks	0.2244	28.61***
β GARCH Volatility persistence	0.7619	130.68***
γ leverage Additional response to negative shocks	0.0011	0.08

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