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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	0.8295	7.05***
α ARCH Response to squared shocks	0.0880	35.75***
β GARCH Volatility persistence	0.9886	599.87***
ν DF Student-t tail thickness	7.6861	6.49***

V-Lab

MSCI World GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI World Analyses