CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2521	26.99***
β GARCH Volatility persistence	0.5300	42.92***
γ leverage Additional response to negative shocks	-0.0769	-6.73***
λ₁ tau intercept Baseline long-term coefficient	0.0016	1.48
λ₂ forecast adj. Forecast performance sensitivity	0.0146	4.92***
λ₃ tau persistence Long-term factor persistence	0.9850	286.26***

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UOB-Kay Hian Holdings Ltd MF2-GARCH Volatility Analysis

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