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	13,158.5509	9.29***
α ARCH Response to squared shocks	0.0993	126.18***
β GARCH Volatility persistence	0.9984	5,978.56***
ν DF Student-t tail thickness	2.0009

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Gold BY Gold SA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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