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EURO STOXX 50 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	1.5903	3.01***
α ARCH Response to squared shocks	0.0387	3.29***
β GARCH Volatility persistence	0.9224	52.29***
γ leverage Additional response to negative shocks	-0.0049	-0.18

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Abionyx Pharma SA GJR-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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