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	1.2620	7.12***
α ARCH Response to squared shocks	0.0953	40.80***
β GARCH Volatility persistence	0.9864	495.41***
ν DF Student-t tail thickness	6.8467	7.86***

V-Lab

Straits Times Index STI GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses