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	0.0569	20.46***
α ARCH Response to squared shocks	0.1488	39.65***
β GARCH Volatility persistence	0.8368	201.78***
γ leverage Additional response to negative shocks	0.1468	15.63***
δ power Transformation power	1.7492	27.71***

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