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	0.1732	13.35***
α ARCH Response to squared shocks	0.0910	27.40***
β GARCH Volatility persistence	0.8853	206.80***
γ leverage Additional response to negative shocks	0.1063	5.83***
δ power Transformation power	1.5709	26.39***

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