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	0.0318	11.15***
α ARCH Response to squared shocks	0.2339	56.77***
β GARCH Volatility persistence	0.7465	258.03***

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