CBOE EFA ETF Volatility Index

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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	0.6981	11.00***
α ARCH Response to squared shocks	0.0866	11.67***
β GARCH Volatility persistence	0.8854	148.61***
γ leverage Additional response to negative shocks	0.0019	0.12

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Sivers Semiconductors Ab GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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