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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	0.5967	11.46***
α ARCH Response to squared shocks	0.0418	4.34***
β GARCH Volatility persistence	0.6213	26.73***
γ leverage Additional response to negative shocks	0.3789	8.08***

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