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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0799	12.38***
β GARCH Volatility persistence	0.8723	106.76***
γ leverage Additional response to negative shocks	-0.0799	-12.14***
λ₁ tau intercept Baseline long-term coefficient	7.6889	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.4614	0.28
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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XtalPi Holdings Ltd MF2-GARCH Volatility Analysis

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