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	0.3750	16.38***
α ARCH Response to squared shocks	0.0866	15.63***
β GARCH Volatility persistence	0.8668	193.56***
γ leverage Additional response to negative shocks	0.0176	1.88*

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Tng Invt & Trading Jsc GJR-GARCH Volatility Analysis

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