CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0794	20.04***
β GARCH Volatility persistence	0.8592	131.72***
γ leverage Additional response to negative shocks	0.0207	4.15***
λ₁ tau intercept Baseline long-term coefficient	0.0130	3.55***
λ₂ forecast adj. Forecast performance sensitivity	0.0254	4.68***
λ₃ tau persistence Long-term factor persistence	0.9730	159.28***

V-Lab

Seatrium Limited MF2-GARCH Volatility Analysis

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