CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0813	9.68***
β GARCH Volatility persistence	0.4783	28.67***
γ leverage Additional response to negative shocks	0.3456	18.73***
λ₁ tau intercept Baseline long-term coefficient	0.0306	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.0074	1.89*
λ₃ tau persistence Long-term factor persistence	0.9909	215.55***

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ams-OSRAM AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ams-OSRAM AG Analyses