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	0.1561	19.17***
α ARCH Response to squared shocks	0.1581	38.88***
β GARCH Volatility persistence	0.8279	184.25***
γ leverage Additional response to negative shocks	0.0193	1.44
δ power Transformation power	1.4530	25.57***

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