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	1.1317	5.78***
α ARCH Response to squared shocks	0.2124	6.36***
β GARCH Volatility persistence	0.6616	16.08***

γ₁	-0.0032	-0.04
γ₂	0.0129	0.09
γ₃	-0.0178	-0.11
γ₄	0.0074	0.05
γ₅	0.0237	0.18
γ₆	0.0089	0.07
γ₇	-0.2400	-2.02**
γ₈	0.5035	3.76***
γ₉	-0.5494	-3.64***
γ₁₀	0.3686	3.10***

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Coil Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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