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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6025	5.02***
α ARCH Response to squared shocks	0.1866	7.09***
β GARCH Volatility persistence	0.7019	17.29***

γ₁	-0.1109	-0.73
γ₂	0.0969	0.39
γ₃	-0.0937	-0.49
γ₄	0.4110	2.49**
γ₅	-0.4475	-2.56**
γ₆	0.1585	0.96

V-Lab

Trident Resources Corp Zero Slope Spline-GARCH Volatility Analysis

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