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CBOE EFA ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2396	7.05***
α ARCH Response to squared shocks	0.1559	10.65***
β GARCH Volatility persistence	0.9326	93.74***
γ leverage Additional response to negative shocks	0.0248	2.58***

V-Lab

Galileo Resources PLC EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Galileo Resources PLC Analyses