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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	1.4767	2.70***
α ARCH Response to squared shocks	0.2206	4.76***
β GARCH Volatility persistence	0.5254	6.08***

γ₁	6.2234	1.64
γ₂	-9.9636	-1.56
γ₃	2.2312	0.46
γ₄	7.1641	2.11**
γ₅	-10.3030	-4.95***
γ₆	8.3186	5.35***
γ₇	-7.6610	-5.06***
γ₈	7.5077	4.93***
γ₉	-3.6519	-1.64
γ₁₀	-1.1567	-0.53

V-Lab

Hevol Services Group Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hevol Services Group Co Ltd Analyses