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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	2.5907	6.05***
α ARCH Response to squared shocks	0.0936	11.20***
β GARCH Volatility persistence	0.9782	316.27***
ν DF Student-t tail thickness	8.4744	1.75*

V-Lab

CIBC MSCI Emerging Markets Equity Index ETF GAS-GARCH Student T Volatility Analysis

Date Range:

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