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	0.8521	6.09***
α ARCH Response to squared shocks	0.1235	5.74***
β GARCH Volatility persistence	0.6301	10.14***

γ₁	0.2580	3.47***
γ₂	-0.5184	-4.83***
γ₃	0.4657	4.66***
γ₄	-0.2788	-3.05***
γ₅	0.0957	1.04
γ₆	-0.0871	-0.94
γ₇	0.1620	1.99**
γ₈	-0.1545	-3.03***

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