CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2146	7.28***
β GARCH Volatility persistence	0.5306	5.93***
γ leverage Additional response to negative shocks	-0.1737	-3.96***
λ₁ tau intercept Baseline long-term coefficient	6.2583	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.7704	0.08
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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BEVEST ASA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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