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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7004	4.10***
α ARCH Response to squared shocks	0.2278	4.05***
β GARCH Volatility persistence	0.3178	2.77***

γ₁	5.6454	1.72*
γ₂	-7.0842	-1.37
γ₃	0.2225	0.06
γ₄	5.1720	1.38
γ₅	-2.5067	-0.59
γ₆	-8.1672	-1.74*
γ₇	11.1105	2.72***
γ₈	-8.8830	-2.11**
γ₉	11.0595	2.75***
γ₁₀	-9.6942	-3.19***

V-Lab

NX Filtration N.V. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses