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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	0.2879	7.15***
α ARCH Response to squared shocks	0.0288	6.45***
β GARCH Volatility persistence	0.9305	143.63***
γ leverage Additional response to negative shocks	0.0301	2.97***

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Catalyst Media Group PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses