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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	15.22***
α ARCH Response to squared shocks	0.0342	7.70***
β GARCH Volatility persistence	0.8785	303.13***
γ leverage Additional response to negative shocks	0.1349	16.35***

V-Lab

iShares MSCI EAFE ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI EAFE ETF Analyses