CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.2914	11.95***
α ARCH Response to squared shocks	0.0908	9.90***
β GARCH Volatility persistence	0.8515	115.72***
γ leverage Additional response to negative shocks	0.0124	0.64

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Unicap Modaraba GJR-GARCH Volatility Analysis

Date Range:

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