CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5614	3.43***
α ARCH Response to squared shocks	0.0673	4.78***
β GARCH Volatility persistence	0.9178	177.90***
γ leverage Additional response to negative shocks	0.0039	0.13

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Abionyx Pharma SA Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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