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
m window Rolling window length	36
α ARCH Response to squared shocks	0.1416	31.17***
β GARCH Volatility persistence	0.5961	31.51***
γ leverage Additional response to negative shocks	0.0664	8.28***
λ₁ tau intercept Baseline long-term coefficient	1.1426	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.2720	0.83
λ₃ tau persistence Long-term factor persistence	0.5707	1.10

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