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	1.5652	2.62***
α ARCH Response to squared shocks	0.2070	5.20***
β GARCH Volatility persistence	0.5597	7.45***

γ₁	0.2581	1.95*
γ₂	-0.3175	-1.86*
γ₃	0.0166	0.20
γ₄	0.2270	2.69***
γ₅	-0.3849	-4.10***
γ₆	0.2440	2.91***
γ₇	-0.0459	-0.47
γ₈	0.0353	0.27
γ₉	-0.0105	-0.08
γ₁₀	-0.0530	-0.53

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