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	0.0290	18.06***
α ARCH Response to squared shocks	0.3115	55.72***
β GARCH Volatility persistence	0.9583	595.59***
γ leverage Additional response to negative shocks	-0.0863	-19.12***

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Tadawul All Share TASI Index EGARCH Volatility Analysis

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