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	1.0570	9.48***
α ARCH Response to squared shocks	0.3582	4.53***
β GARCH Volatility persistence	0.2434	2.24**

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Bellini Nautica S P A Zero Slope Spline-GARCH Volatility Analysis

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