CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7932	5.12***
α ARCH Response to squared shocks	0.1146	6.60***
β GARCH Volatility persistence	0.8323	38.18***

γ₁	0.0429	0.83
γ₂	-0.0073	-0.08
γ₃	-0.1010	-1.49
γ₄	0.1345	2.41**
γ₅	-0.0986	-1.87*
γ₆	0.0305	0.78

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