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	1.5646	2.78***
α ARCH Response to squared shocks	0.2373	5.48***
β GARCH Volatility persistence	0.4485	7.41***

γ₁	0.2760	2.18**
γ₂	-0.3466	-2.13**
γ₃	0.0299	0.37
γ₄	0.2336	2.84***
γ₅	-0.4055	-4.45***
γ₆	0.2662	3.35***
γ₇	-0.0693	-0.78
γ₈	0.0752	0.67
γ₉	-0.1019	-0.90
γ₁₀	0.2270	0.71

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Investeringsselskabet af 3. november 2025 A/S Analyses