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	0.3886	6.87***
α ARCH Response to squared shocks	0.1634	5.65***
β GARCH Volatility persistence	0.7532	67.87***
γ leverage Additional response to negative shocks	0.1668	2.51**

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Avanza Bank Holding AB GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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