CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1601	10.18***
α ARCH Response to squared shocks	0.0751	15.97***
β GARCH Volatility persistence	0.8921	217.28***
γ leverage Additional response to negative shocks	0.0150	1.93*

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