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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	0.0251	16.25***
α ARCH Response to squared shocks	0.0026	0.52
β GARCH Volatility persistence	0.8879	289.14***
γ leverage Additional response to negative shocks	0.1748	23.25***

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