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	36
α ARCH Response to squared shocks	0.0159	4.21***
β GARCH Volatility persistence	0.9375	228.65***
γ leverage Additional response to negative shocks	0.0614	15.71***
λ₁ tau intercept Baseline long-term coefficient	0.5330	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.3021	0.13
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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