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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.5423	17.76***
β GARCH Volatility persistence	0.3064	21.40***
γ leverage Additional response to negative shocks	-0.1219	-1.89*
λ₁ tau intercept Baseline long-term coefficient	0.7685	0.78
λ₂ forecast adj. Forecast performance sensitivity	0.0070	1.21
λ₃ tau persistence Long-term factor persistence	0.9681	25.84***

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Abionyx Pharma SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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