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
m window Rolling window length	21
α ARCH Response to squared shocks	0.3951	18.10***
β GARCH Volatility persistence	0.1086	4.70***
γ leverage Additional response to negative shocks	-0.0114	-0.34
λ₁ tau intercept Baseline long-term coefficient	1.0590	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.1400	0.76
λ₃ tau persistence Long-term factor persistence	0.7235	1.96*

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Bellini Nautica S P A MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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