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	0.0071	2.90***
α ARCH Response to squared shocks	0.0939	38.06***
β GARCH Volatility persistence	0.8820	363.26***
γ leverage Additional response to negative shocks	0.5305	18.42***

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AEX-Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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