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	0.3613	6.48***
α ARCH Response to squared shocks	0.0547	0.99
β GARCH Volatility persistence	0.4487	6.36***
γ leverage Additional response to negative shocks	-0.4950	-1.88*
δ power Transformation power	3.0000	3.16***

V-Lab

Kaleon SpA APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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