CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.3964	15.14***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.3731	-15.59***
λ₁ tau intercept Baseline long-term coefficient	2.0376	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0822	0.08
λ₃ tau persistence Long-term factor persistence	0.5520	0.18

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