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	0.5082	12.95***
α ARCH Response to squared shocks	0.1257	6.81***
β GARCH Volatility persistence	0.2776	10.89***
γ leverage Additional response to negative shocks	-0.6531	-4.43***

V-Lab

Kaleon SpA AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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