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CBOE EFA ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6943	11.17***
α ARCH Response to squared shocks	0.1393	4.64***
β GARCH Volatility persistence	0.7055	10.30***

V-Lab

iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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