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	0.1965	20.17***
α ARCH Response to squared shocks	0.1545	39.02***
β GARCH Volatility persistence	0.8195	200.56***

V-Lab

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