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	15.4777	6.25***
α ARCH Response to squared shocks	0.0484	16.43***
β GARCH Volatility persistence	0.9968	309.86***
ν DF Student-t tail thickness	3.7570	6.05***

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Nice ONE Beauty Digital Mark GAS-GARCH Student T Volatility Analysis

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