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
ω const Unconditional variance weight	4.2727	1.90*
α ARCH Response to squared shocks	0.4606	3.81***
β GARCH Volatility persistence	0.0658	0.92

γ₁	45.7864	5.41***
γ₂	-71.9481	-5.77***
γ₃	37.0477	3.60***
γ₄	-15.4076	-1.44
γ₅	12.8609	1.17
γ₆	-17.2074	-1.67*
γ₇	13.0262	1.66*
γ₈	-4.4409	-1.11

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Abionyx Pharma SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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