CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	27.7513	5.28***
α ARCH Response to squared shocks	0.2319	31.30***
β GARCH Volatility persistence	0.9791	264.20***
ν DF Student-t tail thickness	3.9168	14.56***

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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

Other Avanza Bank Holding AB Analyses