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	0.0335	37.21***
α ARCH Response to squared shocks	0.1360	33.79***
β GARCH Volatility persistence	0.7689	270.54***
γ leverage Additional response to negative shocks	0.1356	21.65***

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AEX-Index Asy. MEM Volatility Analysis

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