CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6561	3.48***
α ARCH Response to squared shocks	0.1585	4.67***
β GARCH Volatility persistence	0.6789	10.96***

γ₁	-0.3172	-2.08**
γ₂	0.4935	2.38**
γ₃	-0.2842	-2.20**
γ₄	0.0826	0.63
γ₅	0.1071	0.93
γ₆	-0.1305	-1.03
γ₇	0.0492	0.28
γ₈	0.0211	0.05

V-Lab

D.L.S.I. Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other D.L.S.I. Analyses