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CBOE EFA ETF 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	30.1557	2.95***
α ARCH Response to squared shocks	0.1417	5.48***
β GARCH Volatility persistence	0.9148	33.78***
ν DF Student-t tail thickness	3.8466	3.17***

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XtalPi Holdings Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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