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	6.3872	6.81***
α ARCH Response to squared shocks	0.0833	118.04***
β GARCH Volatility persistence	0.9968	2,286.14***
ν DF Student-t tail thickness	3.4856	87.41***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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