CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	30.1516	5.42***
α ARCH Response to squared shocks	0.2256	33.12***
β GARCH Volatility persistence	0.9807	295.04***
ν DF Student-t tail thickness	3.6640	17.13***

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Avanza Bank Holding AB GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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