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	0.5381	2.76***
α ARCH Response to squared shocks	0.1240	4.57***
β GARCH Volatility persistence	0.7905	17.69***

γ₁	0.8968	1.55
γ₂	-1.5341	-1.62
γ₃	1.2540	1.64
γ₄	-1.1275	-2.15**
γ₅	0.5607	0.88
γ₆	-0.3611	-0.47
γ₇	1.1176	1.57
γ₈	-1.3504	-1.74*
γ₉	0.5983	0.79
γ₁₀	-0.0165	-0.04

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Gold BY Gold SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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