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	1,929.3870	7.58***
α ARCH Response to squared shocks	0.1016	140.33***
β GARCH Volatility persistence	0.9976	3,452.03***
ν DF Student-t tail thickness	2.0099

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Saudi Industrial Export Co GAS-GARCH Student T Volatility Analysis

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