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
ω const Unconditional variance weight	6.4738	6.97***
α ARCH Response to squared shocks	0.0825	118.31***
β GARCH Volatility persistence	0.9969	2,425.46***
ν DF Student-t tail thickness	3.4815	89.61***

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UOB-Kay Hian Holdings Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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