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	0.1986	19.20***
α ARCH Response to squared shocks	0.1470	18.99***
β GARCH Volatility persistence	0.8188	202.02***
γ leverage Additional response to negative shocks	0.0158	1.15

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Sam Holdings Corporation GJR-GARCH Volatility Analysis

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