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	0.0308	8.08***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9723	326.72***
γ leverage Additional response to negative shocks	0.0379	7.28***

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Christian Dior SE GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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