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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0600	4.11***
β GARCH Volatility persistence	0.0004	0.06
γ leverage Additional response to negative shocks	0.2591	6.62***
λ₁ tau intercept Baseline long-term coefficient	1.9403	3.68***
λ₂ forecast adj. Forecast performance sensitivity	0.4027	1.93*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Avanza Bank Holding AB MF2-GARCH Volatility Analysis

Date Range:

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