CBOE EFA ETF Volatility 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	0.0194	7.31***
α ARCH Response to squared shocks	0.1930	46.83***
β GARCH Volatility persistence	0.7931	279.76***

V-Lab

Straits Times Index STI MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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