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	0.0599	17.08***
α ARCH Response to squared shocks	0.2360	35.98***
β GARCH Volatility persistence	0.7590	121.65***
γ leverage Additional response to negative shocks	0.0019	0.16
δ power Transformation power	1.6937	24.74***

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