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	1.1179	3.18***
α ARCH Response to squared shocks	0.1497	1.63
β GARCH Volatility persistence	0.4940	1.73*

V-Lab

Kaleon SpA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses