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	1.1147	5.03***
α ARCH Response to squared shocks	0.1280	1.44
β GARCH Volatility persistence	0.5127	1.64

V-Lab

Kaleon SpA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses