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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	0.8976	2.40**
α ARCH Response to squared shocks	0.0406	3.76***
β GARCH Volatility persistence	0.9352	47.07***
γ leverage Additional response to negative shocks	-0.0136	-1.08

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Marketingforce Management GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Marketingforce Management Analyses