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	0.9531	1.84*
α ARCH Response to squared shocks	0.1698	2.17**
β GARCH Volatility persistence	0.3379	1.31

γ₁	-15.9773	-0.86
γ₂	53.9614	2.17**
γ₃	-70.7328	-6.33***
γ₄	42.2499	6.65***

V-Lab

Avanza Bank Holding AB Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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