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	-0.0114	-4.60***
α ARCH Response to squared shocks	0.1954	29.05***
β GARCH Volatility persistence	0.9675	595.04***
γ leverage Additional response to negative shocks	0.0041	0.76

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