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	1.5551	2.60***
α ARCH Response to squared shocks	0.2003	5.05***
β GARCH Volatility persistence	0.5762	7.27***

γ₁	0.2579	1.93*
γ₂	-0.3146	-1.83*
γ₃	0.0101	0.12
γ₄	0.2335	2.71***
γ₅	-0.3868	-4.01***
γ₆	0.2407	2.79***
γ₇	-0.0400	-0.39
γ₈	0.0194	0.14
γ₉	0.0315	0.21
γ₁₀	-0.1021	-0.82

V-Lab

Investeringsselskabet af 3. november 2025 A/S Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Investeringsselskabet af 3. november 2025 A/S Analyses