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	21.1857	3.94***
α ARCH Response to squared shocks	0.1048	23.81***
β GARCH Volatility persistence	0.9690	118.98***
ν DF Student-t tail thickness	3.3735	13.23***

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Sivers Semiconductors Ab GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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