CBOE EFA ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	9.6250	5.92***
α ARCH Response to squared shocks	0.2060	6.55***
β GARCH Volatility persistence	0.7188	13.94***
ν DF Student-t tail thickness	3.0963	5.86***

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Bellini Nautica S P A GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bellini Nautica S P A Analyses