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	1.0000	2.91***
α ARCH Response to squared shocks	0.0446	4.60***
β GARCH Volatility persistence	0.8104	39.06***
γ leverage Additional response to negative shocks	0.0132	0.48
δ power Transformation power	2.5946	10.19***

V-Lab

Stroeer Se & Co Kgaa Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Stroeer Se & Co Kgaa Analyses