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	0.0847	15.66***
α ARCH Response to squared shocks	0.3445	34.12***
β GARCH Volatility persistence	0.9243	155.16***
γ leverage Additional response to negative shocks	0.0132	1.94*

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