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	0.1015	12.33***
α ARCH Response to squared shocks	0.2231	32.43***
β GARCH Volatility persistence	0.7732	103.57***
γ leverage Additional response to negative shocks	-0.0226	-1.29
δ power Transformation power	1.5876	16.02***

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