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	0.0261	27.86***
α ARCH Response to squared shocks	0.1263	41.75***
β GARCH Volatility persistence	0.8662	259.33***
γ leverage Additional response to negative shocks	0.2668	24.49***
δ power Transformation power	1.6038	30.73***

V-Lab

Straits Times Index STI APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses