DAX 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	41
α ARCH Response to squared shocks	0.3189	13.64***
β GARCH Volatility persistence	0.4333	15.00***
γ leverage Additional response to negative shocks	-0.1755	-4.89***
λ₁ tau intercept Baseline long-term coefficient	0.4211	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.1266	0.96
λ₃ tau persistence Long-term factor persistence	0.8358	4.62***

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NX Filtration N.V. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses