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	0.0000	0.01
β GARCH Volatility persistence	0.0000	0.02
γ leverage Additional response to negative shocks	0.4390	9.21***
λ₁ tau intercept Baseline long-term coefficient	0.0808	1.13
λ₂ forecast adj. Forecast performance sensitivity	0.1680	4.25***
λ₃ tau persistence Long-term factor persistence	0.6248	12.71***

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Avanza Bank Holding AB MF2-GARCH Volatility Analysis

Date Range:

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