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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	0.3608	4.36***
α ARCH Response to squared shocks	0.0519	7.57***
β GARCH Volatility persistence	0.8901	91.10***
γ leverage Additional response to negative shocks	0.2493	3.24***
δ power Transformation power	1.5666	10.06***

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Giant Biogene Holding Co APARCH Volatility Analysis

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