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	0.0197	7.78***
α ARCH Response to squared shocks	0.1637	19.40***
β GARCH Volatility persistence	0.8363	96.60***
γ leverage Additional response to negative shocks	0.1579	11.15***
δ power Transformation power	1.2649	14.50***

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Tadawul All Share TASI Index Asy. Power MEM Volatility Analysis

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