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
ω const Unconditional variance weight	0.1899	19.28***
α ARCH Response to squared shocks	0.1081	15.97***
β GARCH Volatility persistence	0.8652	202.11***
γ leverage Additional response to negative shocks	-0.0050	-0.50

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