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	0.1921	11.36***
α ARCH Response to squared shocks	0.0953	20.04***
β GARCH Volatility persistence	0.8846	153.33***
γ leverage Additional response to negative shocks	0.2723	3.09***

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Saudi Industrial Export Co AGARCH Volatility Analysis

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