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	0.2670	17.89***
α ARCH Response to squared shocks	0.0691	17.10***
β GARCH Volatility persistence	0.8718	199.49***
γ leverage Additional response to negative shocks	0.0290	3.46***

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Saudi Arabian Coop Insurance GJR-GARCH Volatility Analysis

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