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	1.8714	4.61***
α ARCH Response to squared shocks	0.1071	3.45***
β GARCH Volatility persistence	0.6049	8.21***
γ leverage Additional response to negative shocks	-0.0175	-0.41

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