CBOE EFA ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0131	3.91***
β GARCH Volatility persistence	0.8618	288.04***
γ leverage Additional response to negative shocks	0.1441	28.50***
λ₁ tau intercept Baseline long-term coefficient	0.2315	10.50***
λ₂ forecast adj. Forecast performance sensitivity	0.8171	35.34***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI EAFE ETF Analyses