CBOE EFA ETF Volatility Index

EURO STOXX 50 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	0.6534	4.57***
α ARCH Response to squared shocks	0.3127	4.66***
β GARCH Volatility persistence	0.3881	4.48***

γ₁	0.8736	1.41
γ₂	-1.4701	-1.64
γ₃	2.7076	4.13***
γ₄	-4.5084	-5.56***
γ₅	3.1483	4.44***

V-Lab

BEVEST ASA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BEVEST ASA Analyses