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	0.0077	12.00***
α ARCH Response to squared shocks	0.0563	21.30***
β GARCH Volatility persistence	0.9533	636.37***
γ leverage Additional response to negative shocks	-0.0191	-6.19***

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UOB-Kay Hian Holdings Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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