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	0.3189	3.70***
α ARCH Response to squared shocks	0.2070	2.45**
β GARCH Volatility persistence	0.5490	5.62***
γ leverage Additional response to negative shocks	-0.1857	-2.04**

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Kaleon SpA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses