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	1.0176	1.98**
α ARCH Response to squared shocks	0.1771	2.24**
β GARCH Volatility persistence	0.3278	1.27

γ₁	-10.2458	-0.63
γ₂	43.8596	1.97**
γ₃	-67.5207	-6.54***
γ₄	46.0461	8.13***

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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