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
m window Rolling window length	66
α ARCH Response to squared shocks	0.1988	21.45***
β GARCH Volatility persistence	0.6368	59.05***
γ leverage Additional response to negative shocks	0.0094	0.68
λ₁ tau intercept Baseline long-term coefficient	0.2470	1.60
λ₂ forecast adj. Forecast performance sensitivity	0.0196	2.00**
λ₃ tau persistence Long-term factor persistence	0.9565	41.83***

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Coil MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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