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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9325	18.75***
α ARCH Response to squared shocks	0.3793	42.81***
β GARCH Volatility persistence	0.5535	83.13***

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CBOE 3-Month Volatility Index MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses