CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

SMI 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	0.8477	5.99***
α ARCH Response to squared shocks	0.1222	5.74***
β GARCH Volatility persistence	0.6389	10.50***

γ₁	0.2548	3.40***
γ₂	-0.5147	-4.79***
γ₃	0.4661	4.67***
γ₄	-0.2802	-3.07***
γ₅	0.0948	1.03
γ₆	-0.0823	-0.89
γ₇	0.1552	1.90*
γ₈	-0.1488	-2.91***

V-Lab

ams-OSRAM AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ams-OSRAM AG Analyses