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
m window Rolling window length	76
α ARCH Response to squared shocks	0.0678	16.75***
β GARCH Volatility persistence	0.6776	41.24***
γ leverage Additional response to negative shocks	0.0426	6.52***
λ₁ tau intercept Baseline long-term coefficient	1.8839	1.12
λ₂ forecast adj. Forecast performance sensitivity	0.6248	6.07***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Saudi Arabian Coop Insurance MF2-GARCH Volatility Analysis

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