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
ω const Unconditional variance weight	1.5620	2.61***
α ARCH Response to squared shocks	0.2047	5.14***
β GARCH Volatility persistence	0.5666	7.30***

γ₁	0.2580	1.94*
γ₂	-0.3159	-1.85*
γ₃	0.0131	0.16
γ₄	0.2307	2.71***
γ₅	-0.3865	-4.06***
γ₆	0.2432	2.86***
γ₇	-0.0442	-0.44
γ₈	0.0297	0.22
γ₉	0.0065	0.05
γ₁₀	-0.0735	-0.67

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