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	0.1108	15.06***
α ARCH Response to squared shocks	0.2315	33.63***
β GARCH Volatility persistence	0.7492	113.57***
γ leverage Additional response to negative shocks	0.0248	0.60

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