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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0376	6.71***
β GARCH Volatility persistence	0.6711	25.91***
γ leverage Additional response to negative shocks	0.0906	5.78***
λ₁ tau intercept Baseline long-term coefficient	8.6790	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.6779	0.31
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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