SMI Volatility Index

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	126
α ARCH Response to squared shocks	0.4590	15.68***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1560	2.56**
λ₁ tau intercept Baseline long-term coefficient	3.7175	0.66
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0104	0.01

V-Lab

Nestle SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nestle SA Analyses