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	0.1068	13.34***
α ARCH Response to squared shocks	0.2322	18.15***
β GARCH Volatility persistence	0.7567	111.79***
γ leverage Additional response to negative shocks	-0.0151	-0.79

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