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
m window Rolling window length	86
α ARCH Response to squared shocks	0.0444	16.78***
β GARCH Volatility persistence	0.8132	198.39***
γ leverage Additional response to negative shocks	0.1343	30.74***
λ₁ tau intercept Baseline long-term coefficient	0.1125	0.76
λ₂ forecast adj. Forecast performance sensitivity	0.8960	0.74
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Straits Times Index STI MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses