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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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0012	0.64
β GARCH Volatility persistence	0.8316	240.97***
γ leverage Additional response to negative shocks	0.1853	49.72***
λ₁ tau intercept Baseline long-term coefficient	0.0142	4.41***
λ₂ forecast adj. Forecast performance sensitivity	0.1612	6.21***
λ₃ tau persistence Long-term factor persistence	0.8186	27.44***

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MSCI World MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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