CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9679	1.88*
α ARCH Response to squared shocks	0.1674	2.15**
β GARCH Volatility persistence	0.3333	1.27

γ₁	-14.4959	-0.81
γ₂	51.4633	2.14**
γ₃	-70.1443	-6.50***
γ₄	43.2338	7.31***

V-Lab

Avanza Bank Holding AB Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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