DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1538	12.49***
α ARCH Response to squared shocks	0.1688	38.08***
β GARCH Volatility persistence	0.7938	252.25***

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