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	1.5928	5.78***
α ARCH Response to squared shocks	0.1724	1.97**
β GARCH Volatility persistence	0.0000	0.00

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