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	0.0618	21.85***
α ARCH Response to squared shocks	0.2448	28.96***
β GARCH Volatility persistence	0.9697	639.63***
γ leverage Additional response to negative shocks	-0.0319	-4.63***

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