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	0.1472	14.87***
α ARCH Response to squared shocks	0.2156	22.12***
β GARCH Volatility persistence	0.9429	202.35***
γ leverage Additional response to negative shocks	-0.0247	-3.84***

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Saudi Industrial Export Co EGARCH Volatility Analysis

Date Range:

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