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
ω const Unconditional variance weight	1.7044	4.08***
α ARCH Response to squared shocks	0.2293	4.07***
β GARCH Volatility persistence	0.3214	2.82***

γ₁	5.6347	1.71*
γ₂	-7.0616	-1.36
γ₃	0.1987	0.05
γ₄	5.2024	1.38
γ₅	-2.5505	-0.60
γ₆	-8.1134	-1.72*
γ₇	11.0463	2.70***
γ₈	-8.7848	-2.08**
γ₉	10.8274	2.71***
γ₁₀	-9.3142	-3.14***

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