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	1.5543	5.30***
α ARCH Response to squared shocks	0.1884	8.30***
β GARCH Volatility persistence	0.6319	16.41***

γ₁	-0.0376	-0.63
γ₂	0.1269	1.42
γ₃	-0.2440	-4.21***
γ₄	0.3058	5.54***
γ₅	-0.2158	-4.08***
γ₆	-0.0015	-0.03
γ₇	0.1920	3.88***
γ₈	-0.1751	-3.35***
γ₉	0.0837	1.35
γ₁₀	-0.0661	-1.25

V-Lab

UOB-Kay Hian Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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