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	0.0254	27.13***
α ARCH Response to squared shocks	0.0723	22.62***
β GARCH Volatility persistence	0.8562	301.68***
γ leverage Additional response to negative shocks	0.1107	15.13***

V-Lab

Straits Times Index STI GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses