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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	1.3738	7.47***
α ARCH Response to squared shocks	0.0536	2.07**
β GARCH Volatility persistence	0.7689	7.12***

γ₁	0.3980	3.31***
γ₂	-0.4935	-3.28***

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Giant Biogene Holding Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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