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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1895	12.21***
β GARCH Volatility persistence	0.4262	4.86***
γ leverage Additional response to negative shocks	-0.0264	-1.08
λ₁ tau intercept Baseline long-term coefficient	7.5069	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.3001	0.33
λ₃ tau persistence Long-term factor persistence	0.4172	0.28

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Gold BY Gold SA MF2-GARCH Volatility Analysis

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