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	0.0433	27.54***
α ARCH Response to squared shocks	0.1081	21.81***
β GARCH Volatility persistence	0.8054	240.49***
γ leverage Additional response to negative shocks	0.1526	15.93***

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Tadawul All Share TASI Index GJR-GARCH Volatility Analysis

Date Range:

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