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	1.7142	4.08***
α ARCH Response to squared shocks	0.2301	4.06***
β GARCH Volatility persistence	0.3263	2.88***

γ₁	5.6808	1.77*
γ₂	-7.2275	-1.42
γ₃	0.4772	0.12
γ₄	5.0540	1.39
γ₅	-2.8280	-0.71
γ₆	-7.7293	-1.72*
γ₇	11.0379	2.90***
γ₈	-8.9238	-2.41**
γ₉	10.8908	3.02***
γ₁₀	-9.4674	-3.40***

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