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	0.0699	13.58***
α ARCH Response to squared shocks	0.1435	22.57***
β GARCH Volatility persistence	0.8476	201.61***
γ leverage Additional response to negative shocks	0.0031	0.29

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Sam Holdings Corporation Asy. MEM Volatility Analysis

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