CBOE EFA ETF Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8148	6.14***
α ARCH Response to squared shocks	0.0931	35.51***
β GARCH Volatility persistence	0.9890	539.83***
ν DF Student-t tail thickness	7.3392	6.85***

V-Lab

iShares MSCI EAFE ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI EAFE ETF Analyses