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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
ω const Unconditional variance weight	0.9145	3.13***
α ARCH Response to squared shocks	0.1579	3.41***
β GARCH Volatility persistence	0.7410	10.91***

γ₁	-1.3992	-1.55
γ₂	1.9701	1.69*

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XtalPi Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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