CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7043	11.12***
α ARCH Response to squared shocks	0.0862	11.60***
β GARCH Volatility persistence	0.8852	148.15***
γ leverage Additional response to negative shocks	0.0022	0.13

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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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