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	0.8238	11.76***
α ARCH Response to squared shocks	0.2655	11.69***
β GARCH Volatility persistence	0.6395	43.51***
γ leverage Additional response to negative shocks	-0.0099	-0.24

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Vinpearl JSC GJR-GARCH Volatility Analysis

Date Range:

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