CBOE Volatility Index

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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	4.7162	15.82***
α ARCH Response to squared shocks	0.2838	29.77***
β GARCH Volatility persistence	0.5911	84.19***

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CBOE NASDAQ-100 Volatility Index MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE NASDAQ-100 Volatility Index Analyses