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	1.5650	5.33***
α ARCH Response to squared shocks	0.1878	8.30***
β GARCH Volatility persistence	0.6334	16.47***

γ₁	-0.0379	-0.64
γ₂	0.1284	1.44
γ₃	-0.2470	-4.25***
γ₄	0.3089	5.58***
γ₅	-0.2175	-4.10***
γ₆	-0.0012	-0.03
γ₇	0.1907	3.85***
γ₈	-0.1709	-3.27***
γ₉	0.0763	1.23
γ₁₀	-0.0591	-1.12

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other UOB-Kay Hian Holdings Ltd Analyses