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	0.0527	20.47***
α ARCH Response to squared shocks	0.1420	45.74***
β GARCH Volatility persistence	0.8358	230.69***

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Karachi Stock Exchange KSE100 Index GARCH Volatility Analysis

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