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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0030	6.20***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5878	2.38**

γ₁	1.4539	5.32***
γ₂	-1.7121	-5.14***

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