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	0.9215	10.15***
α ARCH Response to squared shocks	0.0607	5.15***
β GARCH Volatility persistence	0.8391	24.45***

γ₁	-0.0389	-1.40
γ₂	-0.0009	-0.02
γ₃	0.1229	3.50***
γ₄	-0.1471	-3.69***
γ₅	0.0965	2.13**
γ₆	-0.0330	-0.87
γ₇	-0.0043	-0.14
γ₈	0.0012	0.05

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adidas AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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