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	0.7500
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	2,762.40***
λ₃ tau persistence Long-term factor persistence	0.0000	0.02

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