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
m window Rolling window length	41
α ARCH Response to squared shocks	0.0728	10.96***
β GARCH Volatility persistence	0.7272	70.94***
γ leverage Additional response to negative shocks	0.1119	20.39***
λ₁ tau intercept Baseline long-term coefficient	0.9023	2.77***
λ₂ forecast adj. Forecast performance sensitivity	0.8597	3.87***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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